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.
Asymmetries, Skewness, Volatility, Spillover, Stock returns, Asia
Asian Studies | Econometrics | Finance
Journal of International Money and Finance
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. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/240
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