Journal article
Pricing of the Currency Risk in the Canadian Equity Market
Research in International Business and Finance, Vol.30, pp.173-194
2014
Abstract
Based on a three-factor international capital asset pricing model, we examine whether the world market, the local market and the currency risks are priced in the Canadian equity market. The analysis presented in this paper is based on data collected from 2013 to 2010. As the dataset also includes the period of global financial crisis, we examine the issue of risk pricing in the full sample as well as in before and after global financial crisis periods. Unlike most existing studies, the empirical results presented in this paper are based on (i) the Quasi Maximum Likelihood Estimation (QMLE) based multivariate GARCH-in-Mean specification and (ii) the Generalized Method of Moments (GMM) techniques. Our empirical analysis based on weekly data on 58 largest Canadian firms indicates that the currency as well as the local and the world market risks are priced in the Canadian equity market. This result holds for all exchange currency rates proxies and in all sample periods. We find that the price of the world market, the local market and the currency risks is time-varying and the Canadian equity market is partially segmented.
Details
- Title
- Pricing of the Currency Risk in the Canadian Equity Market
- Authors
- Mohammad Al-Shboul (Author) - Al-Hussein Bin Talal University, JordanSajid Anwar (Author) - University of the Sunshine Coast - Faculty of Arts and Business
- Publication details
- Research in International Business and Finance, Vol.30, pp.173-194
- Publisher
- JAI Press Inc.
- Date published
- 2014
- DOI
- 10.1016/j.ribaf.2013.07.002
- ISSN
- 0275-5319
- Copyright note
- Copyright © 2014. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
- Organisation Unit
- School of Business and Creative Industries; Indigenous and Transcultural Research Centre; University of the Sunshine Coast, Queensland; USC Business School - Legacy
- Language
- English
- Record Identifier
- 99449038302621
- Output Type
- Journal article
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