A1 Refereed original research article in a scientific journal
Global Market and Currency Risk in Finnish Stock Market
Authors: Mika Vaihekoski
Publisher: Finnish Economic Association
Publication year: 2007
Journal: Finnish Economic Papers
Volume: 20
Issue: 1
First page : 72
Last page: 88
Web address : http://taloustieteellinenyhdistys.fi/images/stories/fep/fep12007_vaihekoski.pdf
Abstract
Using conditional international asset pricing models, this paper investigates whether global market and currency risks are priced in the Finnish stock market. We take the view of Finnish investors and study the pricing of the market portfolio and industry portfolios using monthly data from 1987 to 2000. The results give strong support for the pricing of the global market risk yet the local market risk is also priced suggesting mild segmentation. We find strong support for the pricing of currency risk. This suggest that Finnish investors should be concerned with the currency risk even when investing in domestic stocks.
Using conditional international asset pricing models, this paper investigates whether global market and currency risks are priced in the Finnish stock market. We take the view of Finnish investors and study the pricing of the market portfolio and industry portfolios using monthly data from 1987 to 2000. The results give strong support for the pricing of the global market risk yet the local market risk is also priced suggesting mild segmentation. We find strong support for the pricing of currency risk. This suggest that Finnish investors should be concerned with the currency risk even when investing in domestic stocks.
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