Is currency risk priced for emerging stock markets?
Economics Bulletin, 2012, vol. 32, issue 3, 2267-2280
In this paper we examine the relevance of currency risk in emerging countries using a conditional version of an international capital pricing model. Our results show that both currency risk and market risk are time-varying and priced in emerging stock markets. In particular, the currency risk premium is economically significant and represents a significant portion of the total risk premium during the crisis periods.
Keywords: International asset pricing model; Currency risk; Risk premium; Emerging markets (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-12-00112
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