Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa

Economic Systems

Volumn 27, Issue 1, 2003, Pages 63-82

  Kabir Hassan, M ^a   Maroney, Neal C ^a   Monir El Sady, Hassan ^b   Telfah, Ahmad ^c  

^a UNIVERSITY OF NEW ORLEANS   (United States)

^b CAIRO UNIVERSITY   (Egypt)

^c RUTGERS UNIVERSITY   (United States)

Author keywords

Asset pricing; Country risk; Portfolio formation

Indexed keywords

EID: 0037653678     PISSN: 09393625     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0939-3625(03)00017-7     Document Type: Article

References (41)

1. Aggarwal R.Inclan C.Leal R.Volatility in emerging stock markets J. Financial Quant. Anal. 34 1999 33-55
2. Bailey W.Chang Y.P.Exchange rate fluctuations, political risk, and stock returns: some evidence from an emerging market J. Financial Quant. Anal. 30 1995 541-561
3. Bailey W.Stulz R.M.Benefits of international diversification: the case of Pacific Basin stock markets J. Portfolio Manage. 18 1990 57-61
4. Bekaret G.Market integration and investment barriers in emerging equity markets World Bank Econ. Rev. 9 1995 75-107
5. Bekaret, G., Campbell, R.H., 1995. The cost of capital in emerging markets. Duke University mimeo.
6. Bekaret G.Campbell R.H.Emerging equity market volatility J. Financial Econ. 43 1997 29-77
7. Bollerslev T.Generalized autoregressive conditional heteroskedasticity J. Econometr. 31 1986 307-321
8. Campbell, J., Andrew, L., MacKinlay, A., 1997. The Econometrics of Financial Markets. Princeton University Press, Princeton, NJ.
9. De Santis G.Asset pricing and portfolio diversification: evidence from emerging markets World Bank Discuss. Paper 228 1993 200-218
10. De Santis G.Imrohoroglu S.Stock returns and volatility in emerging financial markets J. Int. Money Finance 16 1997 561-579
11. Diamonte L.R.Liew M.J.Stevens L.R.Political risk in emerging and developed markets J. Portfolio Manage. 22 1996 71-76
12. Divecha B.A.Drach J.Stefek D.Emerging markets: a quantitative perspective J. Portfolio Manage. 19 1992 41-50
13. Diwan, I., Errunza, V.R., Senbet, L.W., 1993. Country funds for emerging economies. Discussion Paper 228. World Bank, Washington, DC, pp. 252-286.
14. Engle R.F.Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation Econometrica 50 1982 987-1008
15. Engle R.F.Bollerslev T.Modelling the persistence of conditional variances Econometr. Rev. 5 1986 1-50
16. Engle R.Lilien D.Robins R.Estimating time varying risk premia in the term structure: the ARCH models Econometrica 55 1987 391-407
17. Erb B.C.Harvey R.C.Viskanta E.T.Country risk and global equity selection J. Portfolio Manage. 21 1995 74-83
18. Erb B.C.Harvey R.C.Viskanta E.T.Expected returns and volatility in 135 countries J. Portfolio Manage. 22 1996a 46-58
19. Erb B.C.Harvey R.C.Viskanta E.T.Country risk and global equity selection Financial Anal. J. 52 1996b 29-46
20. Erb B.C.Harvey R.C.Viskanta E.T.The making of an emerging market Emerging Markets Q. 1 1997 14-19
21. Ferson W.E.Campbell R.H.The risk and predictability of International equity returns Rev. Financial Stud. 6 1993 527-566
22. Ferson W.E.Campbell R.H.Fundamental determinants of national equity market returns: a perspective on conditional asset pricing J. Banking Finance 21 1998 1625-1665
23. Goetzamann W.N.Jorion P.Re-emerging markets J. Financial Quant. Anal. 34 1999 1-32
24. Haque, M., Kabir Hassan, M., Varela, O. Stability, volatility, risk premiums and predictability in Latin American emerging stock markets. Q. J. Business Econ., in press.
25. Harvey C.R.The world price of covariance risk J. Finance 46 1991 111-157
26. Harvey, C.R., 1994. Conditional assets allocation in emerging markets. NBER Working Paper 4623. National Bureau of Economic Research.
27. Harvey C.R.Predictable risk and return in emerging markets Rev. Financial Stud. 8 1995a 773-816
28. Harvey C.R. The risk exposure of emerging equity markets World Econ. Rev. 9 1995b 19-50
29. Harvey C.R. Siddique A. Autoregressive conditional skewness J. Financial Quant. Anal. 43 1999 465-487
30. Hentschel L. All in the family, nesting symmetric and asymmetric GARCH models J. Financial Econ. 39 1995 71-104
31. Huberman G. Kandel S.A. Mean-variance spanning J. Finance 42 1987 873-888
32. Jobson J.D. Korkie B. A performance interpretation of multivariate tests of asset set intersection spanning and mean-variance efficiency J. Financial Quant. Anal. 24 1989 185-204
33. Kearney C.The causes of volatility in a small, internationally integrated stock market: Ireland, July 1975-June 1994 J. Financial Res. 21 1998 85-104
34. Lessard D.R.World, national, and industry factors in equity returns J. Finance 28 1973 619-633
35. Pagan A.Stchwert G.Alternative models for conditional stock volatility J. Econometr. 45 1990 267-290
36. Patelis A.D.Stock return predictability and the role of monetary policy J. Finance 52 1997 1951-1972
37. Richards A.J.Volatility and predictability in national stock markets: how do emerging and mature markets differ? IMF Staff Papers 43 1996 461-501
38. Rockinger, M., Urga, G., 1999. Time varying parameters model to test for predictability and integration in stock markets of transition economies. Cahier de Recherche du Groupe HEC 635/1998.
39. Rouwenhorst K.G.Local return factors and turnover in emerging stock markets J. Finance 54 1999 1439-1464
40. Shanken J. Testing portfolio efficiency when the zero beta rate is unknown: a note J. Finance 41 1986 269-276
41. Speidell S.L. Sappenfield R. Global diversification in a shrinking world J. Portfolio Manage. 20 1992 57-67