Does Beta Explain Global Equity Market Volatility - Some Empirical Evidence

• Autorzy: Radosław Kurach
• Języki publikacji: EN

Abstrakty

EN

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging markets) between July 1996 and June 2011 and adopting the US investor's perspective. We verify the beta-return trade-off employing two approaches: the unconditional trade-off and the conditional relationship. In this latter case, we find the country beta to be a significant variable explaining the cross-country variation of returns. Next, we test the degree of market integration in the light of the ICAPM. The results of this test indicate that country-idiosyncratic risks are generally not priced. In the subsidiary outcomes of our verification procedure, we argue that country betas are time-varying and that currently, global factors are the dominant source of equity market volatility. Consequently, the opinion regarding emerging market assets and their role in global portfolio management should be reconsidered. The results of the entire study may provide essential implications for fund managers because the decreasing international diversification gains have been identified. (original abstract)

Słowa kluczowe

EN

Equity market; Variability; Capital market; Capital allocation; Capital Asset Pricing Model (CAPM)

PL

Rynek akcji; Zmienność; Rynek kapitałowy; Alokacja kapitału; Model wyceny aktywów kapitałowych

• Czasopismo: Contemporary Economics
• Rocznik: 2013
• Tom: 7
• Numer: nr 2
• Strony: 55--66

Twórcy

autor

Radosław Kurach

• Wrocław University of Economics, Poland

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Identyfikatory

DOI

10.5709/ce.1897-9254.82