Modeling the risk premium in the Russian stock market considering the asymmetry effect

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2023-01-01 DOI:10.22394/1993-7601-2023-71-5-19

Juri Trifonov

引用次数: 0

Abstract

The study examines the risk premium modeling for three major Russian stock market indices. The key feature is accounting for the asymmetry effect in the risk premium via the asymmetric GARCH‐M model. The empirical analysis provided evidence favoring a significant leverage effect in the risk premium in the Russian market. However, the effect sign is contrary to the hypothesis and the empirical evidence in the American market. These findings are probably explained by the violation of the efficient market hypothesis and the presence of a high proportion of irrational investors in the Russian stock market.

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考虑不对称效应的俄罗斯股票市场风险溢价模型

本研究检验了俄罗斯三大股票市场指数的风险溢价模型。关键特征是通过不对称GARCH‐M模型来解释风险溢价中的不对称效应。实证分析表明，俄罗斯市场的风险溢价存在显著的杠杆效应。然而，美国市场的效应符号与假设和经验证据相反。这些发现可能是由于违反了有效市场假说和俄罗斯股市中存在高比例的非理性投资者。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.