Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212640 
Year of Publication: 
2008
Series/Report no.: 
BOFIT Discussion Papers No. 27/2008
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
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.
Subjects: 
market integration
segmentation
asset pricing
emerging markets
Eastern Europe country risk
JEL: 
G12
G15
G32
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-945-4
Document Type: 
Working Paper

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