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The Price of Risk on the JSE

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  • Nick Samouilhan

Abstract

This paper investigates domestic risk-return behaviour by focussing on the intertemporal relationship between the conditional domestic equity market premium, its conditional variance and its conditional covariance with the international equity market. The paper finds that the domestic equity market prices in both domestic and international diversification risk. The estimated daily price of domestic variance risk […]

Suggested Citation

  • Nick Samouilhan, 2006. "The Price of Risk on the JSE," Working Papers 049, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:049
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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