• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Currency risk premiums in CEE emerging stock markets

Moldoveanu, Andreea Oana; Tintea, Iulia
Master thesis
Thumbnail
View/Open
MSc thesis - Moldoveanu & Tintea.pdf (10.74Mb)
URI
http://hdl.handle.net/11250/94911
Date
2012-05-14
Metadata
Show full item record
Collections
  • Master of Science [1116]
Abstract
The paper addressees the issue of pricing currency risk as well as the importance of the size of the risk premium. We test the conditional version of an International Capital Asset Pricing Model using a multivariate GARCH process, taking the perspective of a European investor. We conduct the analysis for three cases corresponding to three CEE emerging markets. We have chosen to analyze this group of countries due to the fact that we found many studies focusing on developed countries but much less evidence on emerging markets. Furthermore emerging countries have recently gone through a process of financial liberalization, especially in what concerns the foreign exchange market. Our findings show that the currency risk premiums for all the analysed emerging markets are statistically significant. Thus, the exchange rate risk premium represents a significant part of the total risk premium, the European investor demanding a reward for bearing the risk when investing in most of these markets.
Description
Masteroppgave(MSc) in Master of Science in Financial Economics - Handelshøyskolen BI,2012

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit