Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness

Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness

We examine 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. The models allow for conditional heteroskedasticity and time-varying conditiona...

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Bibliographic Details
Main Authors: Hashmi, Aamir R., Tay, Anthony S.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Asymmetries
Skewness
Volatility
Spillover
Stock returns
Asia
Asian Studies
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/240
https://ink.library.smu.edu.sg/context/soe_research/article/1239/viewcontent/Hashmi_Tay_GlobalRegionsalSourceRiskEquity_15May2005.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/240
https://ink.library.smu.edu.sg/context/soe_research/article/1239/viewcontent/Hashmi_Tay_GlobalRegionsalSourceRiskEquity_15May2005.pdf

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