Time-varying global, local and currency risk in emerging stock markets
DOI:
https://doi.org/10.59051/joaf.v13i2.504Keywords:
Currency risk, global risk, local risk, DCC-GARCHAbstract
Objective: 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.
Keywords: Currency risk, global risk, local risk, and DCC-GARCH.
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