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Tests of mean-variance efficiency of international equity markets

  • Charles M. Engel
  • Anthony P. Rodrigues

The authors develop tests for mean-variance efficiency of international equity markets for ten OPEC countries. A Wald test that allows for time-varying variances of excess returns rejects a version of mean-variance efficiency. The source of the rejection is not entirely clear, so the authors use a minimum distance estimator to estimate the mean-variance efficiency model. While they formally reject the mean-variance efficiency constraints in this model, the estimated constrained asset demand equations are revealing. Copyright 1993 by Royal Economic Society.

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Paper provided by Federal Reserve Bank of New York in its series Research Paper with number 9209.

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Date of creation: 1992
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Handle: RePEc:fip:fednrp:9209
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