Time-varying global, local and currency risk in emerging stock markets

Lamia Sebai () and Siwar Ellouz ()

Journal of Academic Finance, 2022, vol. 13, issue 2, 2-13

Abstract:

Objective: to investigated the importance of global, local and currency risks \n

Method: The international version of the conditional CAPM and DCC-GARCH \n

Results: the world market risk together with the currency and local market risks are priced and time-varying on the emerging market stock market. The price of local risk in the stock market emerging is non-time-varying relative to the global market, but time-varying relative to the emerging market. \n

Originality / relevance: Study the evolution of global, local and foreign exchange rates over a long period and implement several processes to estimate the CAPM, such as a GARCH-DCC multivariate model. \n

Keywords: Currency risk, global risk, local risk, and DCC-GARCH.

JEL-codes: G3 M1 N8 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:jaf:journl:v:13:y:2022:i:2:n:504

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