A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Global and Local Sources of Risk in Eastern European Emerging Stock Markets
Tekijät: Fedorova E, Vaihekoski M
Kustantaja: CHARLES UNIV-PRAGUE
Julkaisuvuosi: 2009
Journal: Finance a Uver-Czech journal of Economics and Finance
Tietokannassa oleva lehden nimi: FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE
Lehden akronyymi: FINANC UVER
Vuosikerta: 59
Numero: 1
Aloitussivu: 2
Lopetussivu: 19
Sivujen määrä: 18
ISSN: 0015-1920
Verkko-osoite: http://ideas.repec.org/a/fau/fauart/v59y2009i1p2-19.html
Tiivistelmä
We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, the Czech Republic, Hungary, Bulgaria, Slovenia, and Russia. Most of these markets display considerable segmentation; the aggregate emerging market risk, as opposed to global market risk, is the significant driver for their stock market returns. It also appears that currency risk is priced into stock prices. The difference between local and global interest rates can be used to model the time-variation in the betas for both sources of risk.
We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, the Czech Republic, Hungary, Bulgaria, Slovenia, and Russia. Most of these markets display considerable segmentation; the aggregate emerging market risk, as opposed to global market risk, is the significant driver for their stock market returns. It also appears that currency risk is priced into stock prices. The difference between local and global interest rates can be used to model the time-variation in the betas for both sources of risk.
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