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| Walid Chkili |
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| ''Is currency risk priced for emerging stock markets?'' |
| ( 2012, Vol. 32 No.3 ) |
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| In this paper we examine the relevance of currency risk in emerging countries using a conditional version of an international capital pricing model. Our results show that both currency risk and market risk are time-varying and priced in emerging stock markets. In particular, the currency risk premium is economically significant and represents a significant portion of the total risk premium during the crisis periods. |
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| Keywords: International asset pricing model, Currency risk, Risk premium, Emerging markets |
JEL: F3 - International Finance: General
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| Manuscript Received : Feb 01 2012 | | Manuscript Accepted : Aug 14 2012 |
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