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
Citation
FINTA, Marinela Adriana and ABOURA, Sofiane.
Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Journal of Financial Markets. 49, 1-27.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6710
Copyright Owner and License
Authors / SKBI
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.finmar.2020.100533