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Is currency risk priced for emerging stock markets?

Walid Chkili

Economics Bulletin, 2012, vol. 32, issue 3, 2267-2280

Abstract: 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)
Date: 2012-08-14
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