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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Main Authors: Hashmi, Aamir R., Tay, Anthony S.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
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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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spelling sg-smu-ink.soe_research-12392017-01-26T09:25:15Z Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness Hashmi, Aamir R. Tay, Anthony S. 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 conditional skewness, and are used to measure mean, variance, and skewness spillovers. We find that incorporating time-varying conditional skewness improves the fit of our spillover models, and can alter measurements of variance spillovers. However, time-varying conditional skewness is mostly a local phenomenon; with exceptions, there is little spillover in skewness from global and regional factors. 2007-04-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/240 info:doi/10.1016/j.jimonfin.2007.01.003 https://ink.library.smu.edu.sg/context/soe_research/article/1239/viewcontent/Hashmi_Tay_GlobalRegionsalSourceRiskEquity_15May2005.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asymmetries Skewness Volatility Spillover Stock returns Asia Asian Studies Econometrics Finance
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Asymmetries
Skewness
Volatility
Spillover
Stock returns
Asia
Asian Studies
Econometrics
Finance
spellingShingle Asymmetries
Skewness
Volatility
Spillover
Stock returns
Asia
Asian Studies
Econometrics
Finance
Hashmi, Aamir R.
Tay, Anthony S.
Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
description 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 conditional skewness, and are used to measure mean, variance, and skewness spillovers. We find that incorporating time-varying conditional skewness improves the fit of our spillover models, and can alter measurements of variance spillovers. However, time-varying conditional skewness is mostly a local phenomenon; with exceptions, there is little spillover in skewness from global and regional factors.
format text
author Hashmi, Aamir R.
Tay, Anthony S.
author_facet Hashmi, Aamir R.
Tay, Anthony S.
author_sort Hashmi, Aamir R.
title Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
title_short Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
title_full Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
title_fullStr Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
title_full_unstemmed Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
title_sort global and regional sources of risk in equity markets: evidence from factor models with time-varying conditional skewness
publisher Institutional Knowledge at Singapore Management University
publishDate 2007
url 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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