Variance Risk Premiums in Emerging Markets
Author | : Fang Qiao |
Publisher | : |
Total Pages | : 83 |
Release | : 2019 |
ISBN-10 | : OCLC:1304288957 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Variance Risk Premiums in Emerging Markets written by Fang Qiao and published by . This book was released on 2019 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct variance risk premiums for the nine major emerging markets of Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan from 2000 to 2017 using the sample-extension methodology in Lynch and Wachter (2013). Both the emerging market and developed market variance risk premiums can predict stock market returns. However, the former is more important for longer horizons (beyond four months), whereas the latter is more important for shorter horizons (within four months). The partial integration of emerging markets and global economic uncertainty exposure may explain these different predictability patterns.