Saleem, Kashif and Vaihekoski, Mika (2007): Time-varying global and local sources of risk in Russian stock market.
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In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by allowing conditional local influence as well. Similar to them we find global risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency risk components.
|Item Type:||MPRA Paper|
|Institution:||Lappeenranta University of Technology, School of Business|
|Original Title:||Time-varying global and local sources of risk in Russian stock market|
|Keywords:||international asset pricing models; segmentation; currency risk; multivariate GARCH-M; Russia|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
F - International Economics > F3 - International Finance > F30 - General
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
|Depositing User:||Mika Vaihekoski|
|Date Deposited:||16. Nov 2007 19:54|
|Last Modified:||12. Feb 2013 10:31|
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Available Versions of this Item
Pricing global and local sources of risk in Russian stock market. (deposited 11. Sep 2007)
- Time-varying global and local sources of risk in Russian stock market. (deposited 16. Nov 2007 19:54) [Currently Displayed]