The Risk-Return Trade-Off in Emerging Markets
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Título
The Risk-Return Trade-Off in Emerging MarketsAutoría
Fecha de publicación
2012-12Editor
M.E. SharpeISSN
1540-496XTipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://mesharpe.metapress.com/app/home/contribution.asp?referrer=parent&backto=i ...Versión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
This paper studies the risk-return trade-off in some of the main emerging stock markets in the world. Although previous studies on emerging markets were not able to show a positive and significant trade-off, favorable ... [+]
This paper studies the risk-return trade-off in some of the main emerging stock markets in the world. Although previous studies on emerging markets were not able to show a positive and significant trade-off, favorable evidence can be obtained if a nonlinear framework between return and risk is considered. Using fifteen years of weekly data observations for twenty-five emerging markets Morgan Stanley Capital International indexes in a regime-switching GARCH framework, the author obtains favorable evidence for most of the emerging markets during low volatility periods, but not for periods of financial turmoil or using the traditional linear GARCH-M approach. [-]
Publicado en
Emerging Markets Finance and Trade. 2012 November-December, Volume 48, Number 6Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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