Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific

Ahamuefula Ogbonna and Olusanya Olubusoye

Asian Economics Letters, 2021, vol. 2, issue 3, 1-6

Abstract: Hinging on the recently established relevance of tail thickness information, we examine the predictability of fifteen major stocks in the Asia-Pacific region using conditional autoregressive value at risk (CAViaR) model estimates of tail risks. We used a Westerlund and Narayan–type distributed lag model to examine the nexus between returns and tail risk under controlled global and US stocks spillover effects. Country-specific tail risks induce a near-term rise (completely disappears) in returns on “bad†(“good†) days. Our results are robust.

Keywords: tail risks; predictability; conditional autoregressive value at risk (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnael:40

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