Exposure to the world and trading-bloc risks: A multivariate capital asset pricing model

Chee-Wooi Hooy and Kim-Leng Goh

Research in International Business and Finance, 2010, vol. 24, issue 2, 206-222

Abstract: This paper employs a capital asset pricing model that incorporates both world and trading-bloc factors to show that the recent trend of trade regionalism has led to segmentation of world stock markets. The model is developed within a multivariate GARCH framework. The conditional time-varying betas are derived to examine the dynamics of risk exposures to the world and trading-bloc factors. The results show risk exposure behaviour that is not revealed using static risk estimates.

Keywords: Multivariate; GARCH; Regionalism; Systematic; risks; Time-varying; beta (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:24:y:2010:i:2:p:206-222

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