کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089824 | 1375607 | 2011 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Foreign exchange risk pricing and equity market segmentation in Africa
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This work is the first to investigate simultaneously the occurrence of unconditional currency risk pricing and equity market segmentation in Africa's major stock markets. The multi-factor asset pricing theory provides the theoretical framework for our model. We find strong evidence suggesting that Africa's equity markets are partially segmented. However, we find insufficient evidence to reject the hypothesis that foreign exchange risk is not unconditionally priced in Africa's stock markets. This result is robust to alternative foreign exchange rate-adjusted return measures. These findings suggest that international investors can diversify into Africa's equity markets without worrying about unconditional risks associated with foreign exchange rate fluctuations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 9, September 2011, Pages 2295-2310
Journal: Journal of Banking & Finance - Volume 35, Issue 9, September 2011, Pages 2295-2310
نویسندگان
Odongo Kodongo, Kalu Ojah,