On market price of risk in Asian capital markets around the Asian flu
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Li, Yuming, 1998. "Time Variations in Risk Premia, Volatility, and Reward-to-Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 431-446, Winter.
- De Santis, Giorgio & Gerard, Bruno, 1997. "International Asset Pricing and Portfolio Diversification with Time-Varying Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1881-1912, December.
- Campbell, John Y. & Hentschel, Ludger, 1992.
"No news is good news *1: An asymmetric model of changing volatility in stock returns,"
Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
- John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
- Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
- Turner, Christopher M. & Startz, Richard & Nelson, Charles R., 1989.
"A Markov model of heteroskedasticity, risk, and learning in the stock market,"
Journal of Financial Economics, Elsevier, vol. 25(1), pages 3-22, November.
- Turner, C.M. & Startz, R. & Nelson, C.R., 1989. "The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market," Working Papers 89-01, University of Washington, Department of Economics.
- Turner, C.M. & Startz, R. & Nelson, C.R., 1989. "The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market," Discussion Papers in Economics at the University of Washington 89-01, Department of Economics at the University of Washington.
- Christopher M. Turner & Richard Startz & Charles R. Nelson, 1989. "A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market," NBER Working Papers 2818, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
- Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245.
- Harvey, Campbell R, 1995.
"Predictable Risk and Returns in Emerging Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
- Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
- Pindyck, Robert S, 1984.
"Risk, Inflation, and the Stock Market,"
American Economic Review, American Economic Association, vol. 74(3), pages 335-351, June.
- Robert S. Pindyck, 1983. "Risk, Inflation, and the Stock Market," NBER Working Papers 1186, National Bureau of Economic Research, Inc.
- Pindyck, Robert S., 1983. "Risk, inflation, and the stock market," Working papers 1423-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
- Bekaert, Geert & Harvey, Campbell R, 1995.
"Time-Varying World Market Integration,"
Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
- Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
- Baillie, Richard T. & DeGennaro, Ramon P., 1990.
"Stock Returns and Volatility,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 203-214, June.
- Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
- repec:bla:jfinan:v:53:y:1998:i:2:p:575-603 is not listed on IDEAS
- Chou, Ray Yeutien, 1988. "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-294, October-D.
- Harvey, Campbell R, 1995. "The Risk Exposure of Emerging Equity Markets," The World Bank Economic Review, World Bank, vol. 9(1), pages 19-50, January.
- Dumas, Bernard & Solnik, Bruno, 1995.
"The World Price of Foreign Exchange Risk,"
Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
- Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc.
- Bernard Dumas & Bruno Solnik, 1994. "The world price of foreign exchange risk," Working Papers hal-00607984, HAL.
- Dumas, B. & Solnik, B., 1994. "The World Price of Foreign Exchange Risk," DELTA Working Papers 94-05, DELTA (Ecole normale supérieure).
- Dumas, B. & Solnik, B., 1993. "The World Price of Foreign Exchange Risk," Weiss Center Working Papers 93-9, Wharton School - Weiss Center for International Financial Research.
- Ball, Ray & Kothari, S. P., 1989. "Nonstationary expected returns : Implications for tests of market efficiency and serial correlation in returns," Journal of Financial Economics, Elsevier, vol. 25(1), pages 51-74, November.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
- Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
- Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
- Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 1998.
"Country and Currency Risk Premia in an Emerging Market,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(2), pages 189-216, June.
- Ian Domowitz & Jack Glen & Ananth Madhavan, "undated". "Country and Currency Risk Premia in an Emerging Market," IPR working papers 97-26, Institute for Policy Resarch at Northwestern University.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
"On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
- Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 101-116, March.
- Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000.
"A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354.
- Granger, Clive W.J. & Huang, Bwo-Nung & Yang, Chin W., 1998. "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu," University of California at San Diego, Economics Working Paper Series qt9bk607p6, Department of Economics, UC San Diego.
- He, Jia, et al, 1996. "Tests of the Relations among Marketwide Factors, Firm-Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model," Journal of Finance, American Finance Association, vol. 51(5), pages 1891-1908, December.
- Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990.
"Mean Reversion in Equilibrium Asset Prices,"
American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1988. "Mean Reversion in Equilibrium Asset Prices," NBER Working Papers 2762, National Bureau of Economic Research, Inc.
- Fletcher, Jonathan, 1997. "An examination of the cross-sectional relationship of beta and return: UK evidence," Journal of Economics and Business, Elsevier, vol. 49(3), pages 211-221.
- Harvey, Campbell R, 1991. "The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
- Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. "The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 985-1007, July.
- Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
- Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
- Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, vol. 24(2), pages 289-317.
- Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.
- Poterba, James M. & Summers, Lawrence H., 1988.
"Mean reversion in stock prices : Evidence and Implications,"
Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
- James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Girard, Eric & Omran, Mohamed, 2007. "What are the risks when investing in thin emerging equity markets: Evidence from the Arab world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 102-123, February.
- Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2001. "Intertemporal risk-return relationship in the Asian markets around the Asian crisis," Financial Services Review, Elsevier, vol. 10(1-4), pages 249-272.
- Eric Girard & Amit Sinha, 2006. "Does Total Risk Matter? The Case of Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 10(1-2), pages 117-151, March-Jun.
- Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 563-588, December.
- Bekaert, Geert & Wu, Guojun, 2000.
"Asymmetric Volatility and Risk in Equity Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
- Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
- Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
- Haque Mahfuzul & Hassan M. Kabir & Maroney Neal C & Sackley William H, 2004. "An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 2(1), pages 18-41, April.
- Guedhami, Omrane & Sy, Oumar, 2005. "Does conditional market skewness resolve the puzzling market risk-return relationship?," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 582-598, September.
- Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.
- Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 481-502, December.
- Adler, Michael & Qi, Rong, 2003. "Mexico's integration into the North American capital market," Emerging Markets Review, Elsevier, vol. 4(2), pages 91-120, June.
- Osman Kilic & Joseph M. Marks & Kiseok Nam, 2022. "Predictable asset price dynamics, risk-return tradeoff, and investor behavior," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 749-791, August.
- Mika Vaihekoski, 1998.
"Short-term returns and the predictability of Finnish stock returns,"
Finnish Economic Papers, Finnish Economic Association, vol. 11(1), pages 19-36, Spring.
- Vaihekoski, Mika, 1998. "Short-term returns and the predictability of Finnish stock returns," MPRA Paper 13984, University Library of Munich, Germany.
- Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
- Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2017.
"Semiparametric Estimation of Risk–Return Relationships,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 40-52, January.
- Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid, 2013. "Semiparametric Estimation of Risk-return Relationships," LIDAM Discussion Papers ISBA 2013035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Escanciano, Juan Carlos & Pardo-FernAndez, Juan Carlos & Van Keilegom, Ingrid, 2017. "Semiparametric Estimation of Risk-return Relationships," LIDAM Reprints ISBA 2017007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semiparametric Estimation Of Risk-Return Relationships," CAEPR Working Papers 2013-004, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Priestley, Richard, 2001. "Time-varying persistence in expected returns," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1271-1286, July.
- Guesmi, Khaled & Nguyen, Duc Khuong, 2011.
"How strong is the global integration of emerging market regions? An empirical assessment,"
Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
- Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," EconomiX Working Papers 2011-9, University of Paris Nanterre, EconomiX.
- Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Working Papers hal-04141010, HAL.
- Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
- Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March.
- Umar, Muhammad & Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2021. "Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
- Choudhry, Taufiq & Jayasekera, Ranadeva, 2012. "Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 106-116.
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:eee:finana:v:12:y:2003:i:3:p:241-265. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.