Évaluation de la prime de risque de change dans un contexte régional: une analyse multi-variée du MEDAFI

Khaled Guesmi ()
Additional contact information
Khaled Guesmi: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the dynamics of conditional second moments and determinates the contribution of each risk factor in establishing the total premium. The model is estimated for the period March 1996-June 2008, simultaneously for five markets: the world market and four emerging markets. Our results support the partial segmentation of the market studied. In fact, local risk factors contribute significantly in explaining stock market returns.

Keywords: International asset pricing; equity risk premium; financial integration; Emerging Markets; Asymmetric Multivariate GARCH. (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://hal.science/hal-04140841
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-04140841/document (application/pdf)

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: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-04140841

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().