Publication Type

Journal Article

Version

acceptedVersion

Publication Date

6-2020

Abstract

We investigate the volatility and skewness risk premium spillovers among the U.S., U.K., German, and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress, cross-market and cross-moment spillovers increase and that these increases are mirrored by a decrease in within-market effects. We document strong bidirectional spillovers between volatility and skewness risk premia and emphasize the prominent role played by the volatility risk premium. Finally, we show that several announcements drive the time-varying risk premium spillovers.

Keywords

Spillovers, Volatility, Skewness, Risk-neutral, Risk premium

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Publication

Journal of Financial Markets

Volume

49

First Page

1

Last Page

27

ISSN

1386-4181

Identifier

10.1016/j.finmar.2020.100533

Publisher

Elsevier

Embargo Period

5-19-2021

Copyright Owner and License

Authors / SKBI

Additional URL

https://doi.org/10.1016/j.finmar.2020.100533

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