Global and local sources of risk in Eastern European emerging stock markets

Arbeitspapier

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, 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.

Object Details

• ISBN: 978-952-462-945-4
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BOFIT Discussion Papers ; No. 27/2008

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Subject: market integration ; segmentation ; asset pricing ; emerging markets ; Eastern Europe country risk

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fedorova, Elena ; Vaihekoski, Mika
• Event: Veröffentlichung
• (who): Bank of Finland, Institute for Economies in Transition (BOFIT)
• (where): Helsinki
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/212640
• Last update: 10.03.2025, 11:42 AM CET