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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

  • Garcia, René

    (Département de sciences économiques, Université de Montréal)

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.

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Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

Volume (Year): 74 (1998)
Issue (Month): 3 (septembre)
Pages: 467-484

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Handle: RePEc:ris:actuec:v:74:y:1998:i:3:p:467-484
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  1. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-62, April.
  2. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  3. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  4. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
  5. BONOMO, Marco & GARCIA, René, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 1997, Universite de Montreal, Departement de sciences economiques.
  6. Bansal, Ravi & Viswanathan, S, 1993. " No Arbitrage and Arbitrage Pricing: A New Approach," Journal of Finance, American Finance Association, vol. 48(4), pages 1231-62, September.
  7. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  8. Anthony J. Richards, 1996. "Volatility and Predictability in National Stock Markets; How Do Emerging and Mature Markets Differ?," IMF Working Papers 96/29, International Monetary Fund.
  9. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
  10. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  11. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  12. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July.
  13. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  14. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
  15. Bansal, Ravi & Hsieh, David A & Viswanathan, S, 1993. " A New Approach to International Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 48(5), pages 1719-47, December.
  16. Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201.
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