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Is currency risk priced for emerging stock markets?

Author

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  • Walid Chkili

    (School of Business, Manouba University and International Finance Group-Tunisia)

Abstract

In this paper we examine the relevance of currency risk in emerging countries using a conditional version of an international capital pricing model. Our results show that both currency risk and market risk are time-varying and priced in emerging stock markets. In particular, the currency risk premium is economically significant and represents a significant portion of the total risk premium during the crisis periods.

Suggested Citation

  • Walid Chkili, 2012. "Is currency risk priced for emerging stock markets?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2267-2280.
    • Handle: RePEc:ebl:ecbull:eb-12-00112
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I3-P219.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    International asset pricing model; Currency risk; Risk premium; Emerging markets;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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