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 (Unpublished)
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.
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