Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)

• Main Author: Toto, Stefano
• Other Authors: Escolas::EESP
• Language: English
• Published: 2015
• Subjects: Emerging markets; Garch (1,1); Systematic risk; Unsystematic risk; Multifactor model; Economia; Risco (Economia); Finanças - Modelos matemáticos; Análise de séries temporais
• Online Access: http://hdl.handle.net/10438/13598

Submitted by Stefano Toto ([e-mail]) on 2015-03-24T18:06:58Z No. of bitstreams: 1 FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) === Approved for entry into archive by Luana Rodrigues ([e-mail]) on 2015-03-30T13:27:41Z (GMT) No. of bitstreams: 1 FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) === Made available in DSpace on 2015-03-30T13:36:05Z (GMT). No. of bitstreams: 1 FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) Previous issue date: 2015-02-27 === This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor model thus to better replicate the systematic risk of a market. The new simulations reveal some new aspects of emerging markets’ expected returns: the unpredictability of the emerging markets’ returns with the global factor does not depend on the year of emergence and that the unsystematic risk explains the returns of emerging markets for a much larger period of time. The results also reveal the high impact of Exchange rate, Commodities index and of the Global factor in emerging markets’ expected return.