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On the Determinants of Equity International Risk Premium: Are Emerging Zones Differents?

Author

Listed:
  • Ilyes Abid

  • Mohamed El Hedi Arouri

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Khaled Guesmi

  • Frederic Teulon

Abstract

This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important component of the total premium followed by the global market premium. As for the regional risk, our findings show that it is significantly priced for all studied emerging regions but its contribution to the total risk premium is weak.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Ilyes Abid & Mohamed El Hedi Arouri & Khaled Guesmi & Frederic Teulon, 2013. "On the Determinants of Equity International Risk Premium: Are Emerging Zones Differents?," Post-Print hal-01410579, HAL.
    • Handle: RePEc:hal:journl:hal-01410579
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    1. is not listed on IDEAS
    2. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-511 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-492 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-500 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-444 is not listed on IDEAS
    7. repec:ipg:wpaper:2014-415 is not listed on IDEAS
    8. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
    9. repec:ipg:wpaper:2014-462 is not listed on IDEAS
    10. repec:ipg:wpaper:2014-451 is not listed on IDEAS
    11. repec:ipg:wpaper:2014-468 is not listed on IDEAS
    12. repec:ipg:wpaper:2014-452 is not listed on IDEAS
    13. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    14. repec:ipg:wpaper:2014-440 is not listed on IDEAS
    15. repec:ipg:wpaper:2014-394 is not listed on IDEAS
    16. repec:ipg:wpaper:2014-510 is not listed on IDEAS

    More about this item

    JEL classification:

    • F0 - International Economics - - General
    • F5 - International Economics - - International Relations, National Security, and International Political Economy

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