Risk premium spillovers among stock markets: Evidence from higher-order moments

Marinela Adriana Finta and Sofiane Aboura

Journal of Financial Markets, 2020, vol. 49, issue C

Abstract: We investigate the volatility and skewness risk premium spillovers among the U.S., U.K., German, and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress, cross-market and cross-moment spillovers increase and that these increases are mirrored by a decrease in within-market effects. We document strong bidirectional spillovers between volatility and skewness risk premia and emphasize the prominent role played by the volatility risk premium. Finally, we show that several announcements drive the time-varying risk premium spillovers.

Keywords: Spillovers; Volatility; Skewness; Risk-neutral; Risk premium (search for similar items in EconPapers)
JEL-codes: C58 G01 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021

DOI: 10.1016/j.finmar.2020.100533

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