新兴市场的差异风险溢价

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2024-07-15 DOI:10.1016/j.jbankfin.2024.107259

Fang Qiao , Lai Xu , Xiaoyan Zhang , Hao Zhou

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引用次数: 0

摘要

我们以巴西、中国、印度、韩国、墨西哥、波兰、俄罗斯、南非和台湾九个新兴股票和期权市场为基础，首次提供了 2006 年至 2023 年新兴市场方差风险溢价（EMVRP）。EMVRP 可显著预测国际股票回报率和货币升值率，尤其是在 6 个月以上的期限内。这与发达市场方差风险溢价（DMVRP）的预测模式形成鲜明对比，后者在短于 6 个月的期限内更为重要。这些发现与包含部分市场一体化和异质经济不确定性的说明性模型是一致的。

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Variance risk premiums in emerging markets

We provide for the first time the emerging market variance risk premium (EMVRP) from 2006 to 2023, based on nine emerging stock and option markets—Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan. The EMVRP significantly predicts international stock returns and currency appreciation rates, especially for horizons longer than six months. This is in sharp contrast with the predictive pattern of the developed market variance risk premium (DMVRP), which is more important over horizons shorter than six months. These findings are consistent with an illustrative model incorporating partial market integration and heterogeneous economic uncertainty.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.