TESTS OF MEAN-VARIANCE EFFICIENCY OF INTERNATIONAL EQUITY MARKETS

Authors
ENGEL CM RODRIGUES AP
Citation
Cm. Engel et Ap. Rodrigues, TESTS OF MEAN-VARIANCE EFFICIENCY OF INTERNATIONAL EQUITY MARKETS, Oxford Economic Papers, 45(3), 1993, pp. 403-421
Citations number
35
Categorie Soggetti
Economics
Journal title
Oxford Economic Papers → ACNP
ISSN journal
00307653
Volume
45
Issue
3
Year of publication
1993
Pages
403 - 421
Database
ISI
SICI code
0030-7653(1993)45:3<403:TOMEOI>2.0.ZU;2-Y
Abstract
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 t he rejection is not entirely clear, so we use a minimum distance estim ator to estimate the mean-variance efficiency model. While we formally reject the MVE constraints in this model, the estimated constrained a sset demand equations are revealing.