Published December 31, 2022
| Version v1
Journal article
Open
Time-varying global, local and currency risk in emerging stock markets
Authors/Creators
- 1. RED-ISGG & Faculty of Economics and Management, University of Sfax
- 2. Faculty of Economics and Management, University of Sfax
Description
enObjective: to investigated the importance of global, local and currency risks
Method: The international version of the conditional CAPM and DCC-GARCH
Results: the world market risk together with the currency and local market risks are priced and time-
varying on the emerging market stock market. The price of local risk in the stock market emerging is
non-time-varying relative to the global market, but time-varying relative to the emerging market.
Originality / relevance: Study the evolution of global, local and foreign exchange rates over a long
period and implement several processes to estimate the CAPM, such as a GARCH-DCC multivariate
model.