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Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns

Bilson, Chris M; Brailsford, Tim; Hooper, V.J

Description

Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. This paper seeks to address the question of whether macroeconomic variables may proxy for local risk sources. We find moderate evidence to support this hypothesis. Further, we investigate the degree of commonality in exposures...[Show more]

CollectionsANU Research Publications
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40678
http://digitalcollections.anu.edu.au/handle/1885/40678
Source: Pacific-Basin Finance Journal
DOI: 10.1016/S0927-538X(01)00020-8

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