Pricing of Global and Local Sources of Risk in Russian Stock Market

Download or read book Pricing of Global and Local Sources of Risk in Russian Stock Market written by Kashif Saleem and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Geacute;rard (1998). We take US investors' point of view and use a sample period from 1995 to 2006. The results show that the world market risk together with the currency and local market risks are priced on the Russian stock market.