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: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| 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 |