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L’intégration des marchés émergents et la modélisation des rendements des actifs risqués

Author

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  • Boyer, Marcel

    (Chaire Jarislowsky, École polytechnique de Montréal)

  • Cherkaoui, Mouna

    (Groupe de recherche en économie internationale (GREI), Université Mohammed V, Rabat)

  • Ghysels, Eric

    (Department of Economics, Penn State)

Abstract

We want to test the ability of conditional and non-conditional CAPM models to explain the returns on emerging markets as a function of their integration with world markets. We use data on 16 developed markets and 10 emerging markets together with data on the Casablanca Stock Exchange (CSE) before and after the reforms of 1990. We obtain the following results. First, the correlation coefficients between returns on developed and emerging markets are very small and sometimes negative. Second, the conditional APT (as well as the conditional CAPM) has a lower predictive ability for emerging markets than for developed markets. Third, Morocco financial markets are more integrated with world markets since the reforms (excess returns and non-conditional ß more in line with expectations) but the conditional APT performs rather poorly in explaining returns. This suggests that we are still far from having a good model of a structure as complex as the CSE. Nous cherchons à vérifier la capacité des modèles CAPM conditionnels et non conditionnels à expliquer les rendements sur les marchés émergents en fonction de leur intégration au marché mondial. Nous utilisons des données sur 16 marchés développés et 10 marchés en émergence et des données sur la bourse de Casablanca (BVC) avant et après les réformes financières de 1990. Nous obtenons les résultats suivants. (1) Les corrélations entre les rendements des marchés émergents et les rendements des marchés développés et du marché mondial sont très faibles et parfois négatives. (2) L’APT conditionnel (et le CAPM conditionnel) a une capacité prédictive plus faible pour les marchés émergents que pour les marchés développés. (3) Suite aux réformes financières de 1990, les marchés financiers marocains sont davantage intégrés au marché mondial (rendements excédentaires et ß non conditionnel plus conformes aux anticipations), mais l’APT conditionnel explique mal le rendement du marché marocain. Notre étude confirme que nous n’avons pas encore une modélisation très performante d’une structure aussi complexe que la BVC.

Suggested Citation

  • Boyer, Marcel & Cherkaoui, Mouna & Ghysels, Eric, 1997. "L’intégration des marchés émergents et la modélisation des rendements des actifs risqués," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 311-330, mars-juin.
    • Handle: RePEc:ris:actuec:v:73:y:1997:i:1:p:311-330
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