Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness
Aamir Hashmi () and
Anthony S Tay ()
Departmental Working Papers from National University of Singapore, Department of Economics
This study examines the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using factor models in which unexpected returns comprise global, regional and local shocks. Besides conditional heteroskedasticity, the models allow shocks to have time-varying conditional skewness. The global factor appears less important for market volatility in models that permit time-varying conditional skewness. The influence of regional and global factors on risk is small in most of the markets, except in the late 1990s during which the regional factor accounted for a substantial portion of negative skewness in the markets' returns distribution.
Keywords: Asymmetries; Skewness; Volatility; Spillover; Stock returns (search for similar items in EconPapers)
JEL-codes: G15 C53 (search for similar items in EconPapers)
Pages: 46 pages
New Economics Papers: this item is included in nep-fmk
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Working Paper: Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:nus:nusewp:wp0116
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