Variance risk premiums in emerging markets

Qiao，Fang1; Xu，Lai2; Zhang，Xiaoyan3; Zhou，Hao3,4

2024-10-01

10.1016/j.jbankfin.2024.107259

Journal of Banking and Finance   影响因子和分区

0378-4266

We provide for the first time the emerging market variance risk premium (EMVRP) from 2006 to 2023, based on nine emerging stock and option markets—Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan. The EMVRP significantly predicts international stock returns and currency appreciation rates, especially for horizons longer than six months. This is in sharp contrast with the predictive pattern of the developed market variance risk premium (DMVRP), which is more important over horizons shorter than six months. These findings are consistent with an illustrative model incorporating partial market integration and heterogeneous economic uncertainty.

Currency return predictability Economic uncertainty Emerging markets Stock return predictability Variance risk premium

SSCI

英语

其他

ECONOMICS BUSINESS

2-s2.0-85199135138

Scopus

1.China School of Banking and Finance,University of International Business and Economics,Beijing,10 Huixindongjie, Chaoyang District,100029,China
2.Whitman School of Management,Syracuse University,Syracuse,721 University Ave,13244,United States
3.PBC School of Finance,Tsinghua University,Beijing,43 Chengfu Road, Haidian District,100083,China
4.School of Business,Southern University of Science and Technology,Shenzhen,1088 Xueyuan Avenue,518055,China

Qiao，Fang,Xu，Lai,Zhang，Xiaoyan,et al. Variance risk premiums in emerging markets[J]. Journal of Banking and Finance,2024,167.

Qiao，Fang,Xu，Lai,Zhang，Xiaoyan,&Zhou，Hao.(2024).Variance risk premiums in emerging markets.Journal of Banking and Finance,167.

Qiao，Fang,et al."Variance risk premiums in emerging markets".Journal of Banking and Finance 167(2024).