Pricing of global and local sources of risk in Russian stock market

Kashif Saleem () and Mika Vaihekoski ()

Emerging Markets Review, 2008, vol. 9, issue 1, pages 40-56

Abstract: This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G., Gérard, B., 1998, How big is the premium for currency risk? Journal of Financial Economics 49, 375-412]. We take US investors' point of view and use a sample period from 1995 to 2006. The results show that the world market risk together with the currency and local market risks are priced on the Russian stock market.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6W69 ... 8ed04b5a4994d0b10bec
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:ememar:v:9:y:2008:i:1:p:40-56

Access Statistics for this article

Emerging Markets Review is edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Series data maintained by Heidi Boesdal ().