The University of Southampton
University of Southampton Institutional Repository

Global macroeconomic shocks, time-varying covariances and tests of the international CAPM

Record type: Article

The mean variance efficiency (MVE) of a portfolio of international bonds and equities is tested using a CAPM model of excess returns. The conditional variances and covariances of the portfolio returns are allowed to time-vary according to shocks in up to three global macro-economic variables simultaneously. Athough the hypothesis of MVE is easily rejected within a static version of the CAPM this is not the case at conventional significance levels in the CAPM with macro-economic shocks. Results suggest that there exists a dominant role for US macroeconomic disturbances for international capital markets. Integrating macro-economic disturbances more fully into the CAPM may provide theory-consistent models which do not rely solely upon time-series representations of time-varying return variances and covariances such as ARCH.

Full text not available from this repository.

Citation

Clare, A., O'Brien, R., Smith, P.N. and Thomas, S. (1996) Global macroeconomic shocks, time-varying covariances and tests of the international CAPM Applied Economics Letters, 3, (2), pp. 109-113. (doi:10.1080/135048596356816).

More information

Published date: 1996

Identifiers

Local EPrints ID: 37380
URI: http://eprints.soton.ac.uk/id/eprint/37380
ISSN: 1350-4851
PURE UUID: 5b1d0caa-b31f-4cc3-ac79-9bf48e84b861

Catalogue record

Date deposited: 09 Feb 2007
Last modified: 17 Jul 2017 15:42

Export record

Altmetrics

Contributors

Author: A. Clare
Author: R. O'Brien
Author: P.N. Smith
Author: S. Thomas

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×