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Inflation risk, exchange rate risk and asset returns : Evidence from Korea, Malaysia and Taiwan

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  • Inflation risk, exchange rate risk and asset returns
  • Saleem, Kashif
  • Lappeenranta University of Technology


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Title Inflation risk, exchange rate risk and asset returns
Similar Titles
Sub Title

Evidence from Korea, Malaysia and Taiwan

Material Type Reports
Author(English)

Saleem, Kashif

Publisher

Lappeenranta, Finland:Lappeenranta University of Technology

Date 2010-08
Pages 17
Subject Country Malaysia(Asia and Pacific)
South Korea(Asia and Pacific)
Taiwan(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic Administration
Economy < Economic System
Holding SSRN

Abstract

In this paper we investigate whether inflation and currency risks are priced in the Korean, Malaysian and Taiwan stock market using conditional international asset pricing models. We take the view of a US investor. The estimation is conducted using a modified version of the multivariate GARCH framework of De Santis and Gérard (1998). We use a sample period from 1988 to 2009. The results show that the world market risk is priced on Korean, Malaysian, Taiwan and US stock markets. We find the currency and inflation risk to be also priced on Korean, Malaysian and Taiwan market.