Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)
Carregando...
Data
2015-02-27
Autores
Orientador(res)
Mergulhão, João de Mendonça
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
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.