Exposure to the world and trading-bloc risks: A multivariate capital asset pricing model |
| |
Authors: | Chee-Wooi Hooy |
| |
Affiliation: | a Finance Section, School of Management, Universiti Sains Malaysia, 11800 USM, Penang, Malaysia b Faculty of Economics & Administration, University of Malaya, 50603 Kuala Lumpur, Malaysia |
| |
Abstract: | This paper employs a capital asset pricing model that incorporates both world and trading-bloc factors to show that the recent trend of trade regionalism has led to segmentation of world stock markets. The model is developed within a multivariate GARCH framework. The conditional time-varying betas are derived to examine the dynamics of risk exposures to the world and trading-bloc factors. The results show risk exposure behaviour that is not revealed using static risk estimates. |
| |
Keywords: | F36 G12 |
本文献已被 ScienceDirect 等数据库收录! |
|