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

Ahamuefula Ogbonna and Olusanya Olubusoye

MPRA Paper from University Library of Munich, Germany

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: Conditional Autoregressive Value at Risk; Predictability; Returns; Tail Thickness (search for similar items in EconPapers)
JEL-codes: C10 C53 G17 (search for similar items in EconPapers)
Date: 2021-04-09
New Economics Papers: this item is included in nep-cwa, nep-fmk, nep-ore, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:109922

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