A new country risk index for emerging markets: A stochastic dominance approach

Agliardi, Elettra, Agliardi, Rossella, Pinar, Mehmet, Stengos, Thanasis and Topaloglou, Nikolas (2012) A new country risk index for emerging markets: A stochastic dominance approach. Journal of Empirical Finance, 19 (5). pp. 741-761. ISSN 0927-5398 DOI https://doi.org/10.1016/j.jempfin.2012.08.003

This is the latest version of this item.

[img]
Preview
PDF
A new country risk index for emerging markets.pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (569kB) | Preview

Abstract

An optimal weighting scheme is proposed to construct economic, political and financial risk indices in emerging markets using an approach that relies on consistent tests for stochastic dominance efficiency. These tests are considered for a given risk index with respect to all possible indices constructed from a set of individual risk factors. The test statistics and the estimators are computed using mixed integer programming methods. We derive an economic, political and financial risk ranking of emerging countries. Finally, an overall risk index is constructed. One main result is that the financial risk is the leading contributor to sovereign risk in emerging markets followed by the economic and political risks.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Business and Management
Date Deposited: 20 Apr 2016 10:20
URI: http://repository.edgehill.ac.uk/id/eprint/7541

Available Versions of this Item

Archive staff only

Item control page Item control page