Brown Bag Lunch
Wednesday 22 April 2009
12h15 - R3
Katsiaryna Svirydzenka
“The varying price of risk in emerging countries’ stock markets: The role of the foreign investor profiles”
Abstract: Does the composition of capital inflows affect the stability of the domestic financial system? This paper analyzes the role of the foreign investor types in the pricing of risk in the stock markets of emerging countries. Taking the APT approach to asset pricing and the dynamic common factor model as its empirical implementation, I extract the factors driving the returns of individual stocks in each emerging country. Having estimated the price of risk for each country, I then test whether it is affected by the sector breakdown of foreign equity holders, as measured by the IMF Coordinated Portfolio Investment Survey.
