Exposure To The World And Trading Blog Risks - A Multiviariate Asset Pricing Model

Hooy, Chee Wooi and Goh, Kim Leng Exposure To The World And Trading Blog Risks - A Multiviariate Asset Pricing Model. Working Paper. Universiti Sains Malaysia. (Unpublished)

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    Abstract

    Th is paper employs a capital asset pricing model that incorporates both world and trading-bloc foctors 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 condit ional timevarying betas are derived to examine the dynamics of risk exposures to the world and tradingbloc factors.

    Item Type: Monograph (Working Paper)
    Subjects: C Auxiliary Sciences of History > CC Archaeology > CC1-960 Archaeology
    Divisions: Pusat Penyelidikan Dasar & Kajian Antarabangsa (CenPRIS)
    Depositing User: Mr. HR
    Date Deposited: 31 Oct 2012 09:18
    Last Modified: 13 Jul 2013 18:14
    URI: http://eprints.usm.my/id/eprint/26038

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