English, Article, Journal or magazine article edition: Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets Antonio Díez de los Ríos

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Bookmark: http://trove.nla.gov.au/version/160364
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets
Author
  • Antonio Díez de los Ríos
Physical Description
  • preprint
Notes
  • We use a multifactor asset pricing model for currency, bond and stocks for fourteen emerging markets over the period from 1997 to middle 2001 to investigate the effect of the exchange rate regime on the cost of capital, the integration of financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to reduce the cost of capital and we are not able to reject that emerging equity markets are integrated. Finally, there is evidence that the transmission of shocks is beyond of what can be explained by fundamentals or common shocks.
  • Financial Crisis, Contagion, Time-Varying Volatility, Financial Integration, International Asset Pricing
  • RePEc:cea:doctra:e2003_51
Language
  • English
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