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Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel

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  • Garcia, René

    (Département de sciences économiques, Université de Montréal)

Abstract

In this paper, we survey the asset pricing models that have been used in the context of emerging markets. We emphasize that both returns and their variability are more predictable than in developed markets and investigate whether this predictability can be explained by predictable measures or risk premia. In this regard, we stress the importance of testing for structural change and of diagnostic tests to check for the stability of relationships over time and for the omission of relevant risk factors. These tests are all the more important when economic and political conditions are less stable. Finally, we ask whether the emerging markets are integrated with the world market and describe a model which allows for a time-varying integration. Dans cet article, nous faisons un survol des modèles d’évaluation des actifs financiers étudiés dans le contexte des marchés boursiers en émergence. Nous soulignons qu’il est plus facile de prévoir les rendements et leur variabilité pour de tels marchés que pour ceux des pays développés, et nous essayons de vérifier si ceci peut être expliqué par l’existence de mesures prévisibles du risque et des primes de risque. À cet égard, nous insistons sur l’importance des tests de changement structurel et des tests diagnostiques pour vérifier si les relations sont stables dans le temps et si des facteurs importants n’ont pas été oubliés. Ces tests sont d’autant plus importants dans le contexte d’un environnement économique et politique d’une plus grande instabilité. Nous terminons par une analyse de l’intégration de ces marchés boursiers en émergence au marché mondial et décrivons un modèle qui permet de capter l’évolution de cette intégration à travers le temps.

Suggested Citation

  • Garcia, René, 1998. "Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(3), pages 467-484, septembre.
  • Handle: RePEc:ris:actuec:v:74:y:1998:i:3:p:467-484
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    References listed on IDEAS

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