The International Price of Exchange Rate Risk: Evidence from the ICAPM

Mohamed Arouri

The IUP Journal of Applied Economics, 2005, vol. IV, issue 6, 34-60

Abstract: In this paper, we investigate whether exchange rate risk is internationally priced for both developed and emerging stock markets. we use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. The evidence supports strongly the international asset pricing model that includes exchange rate risk. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.

Date: 2005
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:icf:icfjae:v:04:y:2005:i:6:p:34-60

Access Statistics for this article

More articles in The IUP Journal of Applied Economics from IUP Publications
Bibliographic data for series maintained by G R K Murty ().