The Asset Pricing Model with Exchange Risks: Evidence from Emerging Markets
| Autor: | Che-Young Yu, 余哲仰 |
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| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 For the growing dominance in international affairs following the rapid economic growth, it becomes more urgent to get insight into emerging markets. As a result, this paper investigates whether currency risk plays a role in emerging market returns and how important it is. After analyzing the performances of the seventeen emerging markets in the past decade, we find that: (1) these markets have integrated internationally; (2) major currency risk and local currency risk do affect the market returns whereas the local currency risk is more influential than major currency risk; and (3) it is necessary to consider the volatility clustering and compensation for expected volatility when estimating the asset pricing models for the better efficiency. Our results suggest that when investing in emerging markets, investors might collect the information that indicates the movement of exchange rate and then revalue their investment directly. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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