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

Author

Aamir R. Hashmi, National University of Singapore
Anthony S. Tay, Singapore Management UniversityFollow

Publication Type

Journal Article

Version

submittedVersion

Publication Date

4-2007

Abstract

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.

Keywords

Asymmetries, Skewness, Volatility, Spillover, Stock returns, Asia

Discipline

Asian Studies | Econometrics | Finance

Research Areas

Econometrics

Publication

Journal of International Money and Finance

Volume

26

Issue

3

First Page

430

Last Page

453

ISSN

0261-5606

Identifier

10.1016/j.jimonfin.2007.01.003

Publisher

Elsevier

Citation

Hashmi, Aamir R. and Tay, Anthony S.. Global and regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness. (2007). Journal of International Money and Finance. 26, (3), 430-453.
Available at: https://ink.library.smu.edu.sg/soe_research/240

Copyright Owner and License

Authors

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Additional URL

https://doi.org/10.1016/j.jimonfin.2007.01.003