Évaluation de la prime de risque de change dans un contexte régional: une analyse multi-variée du MEDAFI
No 2009-45, EconomiX Working Papers from University of Paris Nanterre, EconomiX
In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the dynamics of conditional second moments and determinates the contribution of each risk factor in establishing the total premium. The model is estimated for the period March 1996-June 2008, simultaneously for five markets: the world market and four emerging markets. Our results support the partial segmentation of the market studied. In fact, local risk factors contribute significantly in explaining stock market returns.
Keywords: International asset pricing; equity risk premium; financial integration; Emerging Markets; Asymmetric Multivariate GARCH. (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2009-45
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