Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jimonfin.2007.01.003
Title: Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
Authors: Hashmi, A.R. 
Tay, A.S.
Keywords: Asymmetries
Skewness
Spillover
Stock returns
Volatility
Issue Date: 2007
Source: Hashmi, A.R., Tay, A.S. (2007). Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness. Journal of International Money and Finance 26 (3) : 430-453. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jimonfin.2007.01.003
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. © 2007 Elsevier Ltd. All rights reserved.
Source Title: Journal of International Money and Finance
URI: http://scholarbank.nus.edu.sg/handle/10635/22365
ISSN: 02615606
DOI: 10.1016/j.jimonfin.2007.01.003
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