The Risk and predictability of equity returns of the EU accession countries

Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Straipsnis / Article
Language:
Anglų kalba / English
Title:
The Risk and predictability of equity returns of the EU accession countries
In the Journal:
Emerging markets review. 2004, 5, p. 241-266
Keywords:
LT
Bulgarija (Bulgaria); Čekijos Respublika (Czech Republic); Jungtinė Karalystė (Didžioji Britanija; Great Britain; United Kingdom, UK, GB); Kipras (Cyprus); Malta; Rumunija (Romania); Slovėnija (Slovenia); Turkija (Turkey); Vengrija (Hungary); Lietuva (Lithuania).
Summary / Abstract:

LTReikšminiai žodžiai: Besiformuojančios rinkos; Centrinė ir Rytų Europa; ES narystės siekiančios šalys; ES šalių padaugėjimas; Rizikos veiksniai; Vidurio ir Rytų Europa; Central and East Europa; Central and Eastern Europe; EU accession countries; Emerging markets; Risk factors.

ENThis paper investigates the importance of global risk factors and the predictability of returns of the 13 EU accession countries, using both unconditional and conditional asset-pricing tests during the turbulent period of 1997–2002. Applied for the first time to the full sample of EU accession countries, we conclude that the world excess return has only somewhat importance for Hungary, Poland and Turkey, indicating low financial liberalization and low integration with the world. The real G-7 interest rate followed by the world excess return, global foreign exchange rate and global inflation rates are the most influential in their explanation of the variation of local market returns. Predictability of local returns is high and variant; global instrumental variables have higher predictive power for eight countries, especially for Bulgaria, Cyprus, Estonia, Lithuania, Romania and Hungary, whereas local instruments are more important for the Czech Republic, Latvia, Poland and Slovenia. The failure of the conditional asset-pricing model to correctly price assets confirms partial integration with the world. Except for Bulgaria, Hungary, Latvia and Malta, predictability cannot be explained by time variation in economic risk premiums, but by local information, market inefficiency and/or investor irrationality. [From the publication]

DOI:
10.1016/j.ememar.2004.03.003
ISSN:
1566-0141
Related Publications:
Permalink:
https://www.lituanistika.lt/content/77857
Updated:
2020-07-09 21:13:58
Metrics:
Views: 15
Export: