Currency risk in emerging equity markets

Emerging Markets Review

Volumn 5, Issue 3, 2004, Pages 317-339

  Phylaktis, Kate ^a   Ravazzolo, Fabiola ^b  

^a CITY UNIVERSITY   (United Kingdom)

^b EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Capital market integration; Currency risk; Emerging markets; International capital asset pricing models (ICAPM); Pacific Basin capital markets

Indexed keywords

EID: 4644344754     PISSN: 15660141     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ememar.2004.04.002     Document Type: Article

References (28)

1. Baba Y. Engle R.F. Kraft D. Kroner K.F. 1990 Multivariate simultaneous generalised ARCH. Unpublished working paper University of California, San Diego
2. G. Bekaert C.R. Harvey Time-varying world market integration Journal of Finance 50 1995 403-444
3. G. Bekaert C.R. Harvey Emerging equity market volatility Journal of Financial Economics 43 1997 29-77
4. G. Bekaert C.R. Harvey Foreign speculation and emerging equity markets Journal of Finance 55 2000 565-613
5. F. Black Capital market equilibrium with restricted borrowing Journal of Business 45 1972 444-455
6. W.H. Branson Macroeconomic determinants of real exchange risk In: R.J. Herring (Ed.) Managing Foreign Exchange Risk 1983 Cambridge Univ. Press Cambridge, MA 33-74
7. F. Carrieri The effects of liberalisation on market and currency risk in the European Union European Financial Management 7 2001 259-290
8. T. Choudhry Stock market volatility and the crash of 1987: evidence from six emerging markets Journal of International Money and Finance 15 1996 969-981
9. G. De Santis B. Gerard International asset pricing and portfolio diversification with time-varying risk Journal of Finance 52 1997 1881-1911
10. G. De Santis G. Gerard How big is the premium for currency risk Journal of Financial Economics 48 1998 375-412
11. G. De Santis S. Imrohoroglu Stock returns and volatility in emerging financial markets Journal of International Money and Finance 16 1997 561-579
12. I. Domowitz J. Glen A. Madhavan Market segmentation and stock prices: evidence from an emerging market Journal of Finance 52 1997 1059-1086
13. R. Dornbusch S. Fischer Exchange rates and the current account American Economic Review 70 1980 960-971
14. B. Dumas A test of the international CAPM using business cycles indicators as instrumental variables In: J. Frankel (Ed.) The Internationalisation of Equity Markets 1994 Univ. of Chicago Press Chicago 23-50
15. B. Dumas B. Solnik The world price of foreign exchange risk Journal of Finance 50 1995 445-479
16. R.F. Engle T. Bollerslev Modelling the persistence of conditional variances Econometric Reviews 5 1986 1-50
17. R.F. Engle K.F. Kroner Multivariate simultaneous generalised ARCH Econometric Theory 11 1995 122-150
18. R.F. Engle C. Mustafa Implied ARCH models from options prices Journal of Econometrics 52 1992 267-287
19. V.R. Errunza E. Losq P. Padmanabhan Tests of integration, mild segmentation and segmentation hypotheses Journal of Banking and Finance 16 1992 949-972
20. W.E. Ferson C.R. Harvey Sources of risk and expected returns in global equity markets Journal of Banking and Finance 18 1994 775-803
21. L. Glosten R. Jagannathan D. Runkle On the relation between the expected value and the volatility of the nominal excess return on stocks Journal of Finance 48 1993 1779-1801
22. D.A. Hsieh Modelling heteroskedasticity in daily foreign exchange rates Journal of Business and Economic Statistics 7 1989 307-317
23. E.H. Kim V. Singal Stock market openings: experience of emerging economies Journal of Business 73 2000 25-66
24. C.G. Lamourex W.D. Lastrapes Persistence in variance, structural change, and the GARCH model Journal of Business and Economic Statistics 8 1990 225-234
25. K. Phylaktis F. Ravazzolo Measuring financial and economic integration with equity prices in emerging markets Journal of International, Money and Finance 21 2002 857-878
26. K. Phylaktis F. Ravazzolo Stock prices and exchange rate dynamics Journal of International, Money and Finance 2004 (in press)
27. K. Phylaktis G.E. Wood An analytical and taxonomic framework for the study of exchange controls In: J. Black G.S. Dorrance (Eds.) Problems of International Finance 1984 Macmillan London 149-166
28. H. White Maximum likelihood estimation of misspecification models Econometrica 50 1982 1-25