TY - JOUR
T1 - A test of the revised interest parity in China and Asian emerging markets
AU - Kim, Heeho
AU - Cho, Jooeun
PY - 2011/9/1
Y1 - 2011/9/1
N2 - This paper explored and tested the risk-adjusted uncovered interest parity model to investigate the degree of capital mobility in the United States, Japan, the United Kingdom, and four East Asian emerging markets relative to China from January 1994 to July 2008. Evidence was found to strongly support our hypotheses; market risk was significant for capital flows in the Chinese capital market, while the relationship between returns and the appreciation rate of the exchange rate were divided between the Asian emerging markets and the developed economies, depending on the directions of capital flows.
AB - This paper explored and tested the risk-adjusted uncovered interest parity model to investigate the degree of capital mobility in the United States, Japan, the United Kingdom, and four East Asian emerging markets relative to China from January 1994 to July 2008. Evidence was found to strongly support our hypotheses; market risk was significant for capital flows in the Chinese capital market, while the relationship between returns and the appreciation rate of the exchange rate were divided between the Asian emerging markets and the developed economies, depending on the directions of capital flows.
KW - Chinese capital market
KW - portfolio equity flows
KW - revised uncovered interest parity
KW - risk
UR - http://www.scopus.com/inward/record.url?scp=84555203156&partnerID=8YFLogxK
U2 - 10.2753/REE1540-496X4705S402
DO - 10.2753/REE1540-496X4705S402
M3 - Article
AN - SCOPUS:84555203156
SN - 1540-496X
VL - 47
SP - 23
EP - 41
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
IS - SUPPL. 4
ER -