TESTS OF MEAN-VARIANCE EFFICIENCY OF INTERNATIONAL EQUITY MARKETS

被引：5

作者：

ENGEL, CM ^{[1
]}

RODRIGUES, AP ^{[1
]}

机构：

[1] FED RESERVE BANK NEW YORK,NEW YORK,NY 10045

来源：

OXFORD ECONOMIC PAPERS-NEW SERIES | 1993年 / 45卷 / 03期

关键词：

D O I：

10.1093/oxfordjournals.oep.a042099

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop tests for mean-variance efficiency of international equity markets for ten OP countries. A Wald test that allows for time-varying variances of excess returns rejects a version of MVE. The source of the rejection is not entirely clear, so we use a minimum distance estimator to estimate the mean-variance efficiency model. While we formally reject the MVE constraints in this model, the estimated constrained asset demand equations are revealing.

引用

页码：403 / 421

页数：19

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