Joint research unit 7235

Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI

Khaled Guesmi

In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the dynamics of conditional second moments and determinates the contribution of each risk factor in establishing the total premium. The model is estimated for the period March 1996-June 2008, simultaneously for five markets: the world market and four emerging markets. Our results support the partial segmentation of the market studied. In fact, local risk factors contribute significantly in explaining stock market returns.

AGENDA

Thursday 8 June 2023

Doctorants

Sahil Chopra (Université Sorbonne Paris-Nord)

Economics of litigation : Securities class action with third-party funding

Thursday 8 June 2023

Economics of litigation : Securities class action with third-party funding

Sahil Chopra (Université Sorbonne Paris-Nord)

Economics of litigation : Securities class action with third-party funding

Monday 12 June 2023

Law, Institutions and Economics in Nanterre (LIEN)

Arthur Silve (IAST / Univ. Laval)

TBA

Monday 12 June 2023

TBA

Arthur Silve (IAST / Univ. Laval)

TBA

Thursday 15 June 2023

Lunch

Guillaume Pierné

TBA

Thursday 15 June 2023

TBA

Guillaume Pierné

TBA

Monday 19 June 2023

Law, Institutions and Economics in Nanterre (LIEN)

Juan Mora-Sanguinetti (Banco de Espana)

TBA

Monday 19 June 2023

TBA

Juan Mora-Sanguinetti (Banco de Espana)

TBA

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