Tests of Mean-Variance Efficiency of International Equity Markets

Charles Engel and Anthony Rodrigues ()

Oxford Economic Papers, 1993, vol. 45, issue 3, 403-21

Abstract: The authors develop tests for mean-variance efficiency of international equity markets for ten OPEC countries. A Wald test that allows for time-varying variances of excess returns rejects a version of mean-variance efficiency. The source of the rejection is not entirely clear, so the authors use a minimum distance estimator to estimate the mean-variance efficiency model. While they formally reject the mean-variance efficiency constraints in this model, the estimated constrained asset demand equations are revealing. Copyright 1993 by Royal Economic Society.

Date: 1993
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Related works:
Working Paper: Tests of mean-variance efficiency of international equity markets (1992)
Working Paper: Tests of mean-variance efficiency of international equity markets (1990)
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