IDEAS home Printed from https://ideas.repec.org/a/cai/finpug/fina_271_0131.html
   My bibliography  Save this article

La prime de risque dans un cadre international : le risque de change est-il apprécié ?

Author

Listed:
  • Mohamed El Hédi Arouri

Abstract

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

Suggested Citation

  • Mohamed El Hédi Arouri, 2006. "La prime de risque dans un cadre international : le risque de change est-il apprécié ?," Finance, Presses universitaires de Grenoble, vol. 27(1), pages 131-170.
    • Handle: RePEc:cai:finpug:fina_271_0131
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=FINA_271_0131
    Download Restriction: free
    File URL: http://www.cairn.info/revue-finance-2006-1-page-131.htm
    Download Restriction: free
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Salem Boubakri, 2009. "Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière," Working Papers hal-04140890, HAL.
    2. Mohamed El Hédi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Revue économique, Presses de Sciences-Po, vol. 61(5), pages 945-959.
    3. Khaled Guesmi, 2009. "Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI," Working Papers hal-04140841, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:finpug:fina_271_0131. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-finance.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.