Abstract
In this paper we investigate whether inflation and currency risks are priced in the Korean, Malaysian and Taiwan stock market using conditional international asset pricing models. We take the view of a US investor. The estimation is conducted using a modified version of the multivariate GARCH framework of De Santis and Gerard (1998). We use a sample period from 1988 to 2009. The results show that the world market risk is priced on Korean, Malaysian, Taiwan and US stock markets. We find the currency and inflation risk to be also priced on Korean, Malaysian and Taiwan market.
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