Please use this identifier to cite or link to this item:
|Title:||Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness||Authors:||Hashmi, A.R.
|Issue Date:||2007||Citation:||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|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on May 31, 2023
WEB OF SCIENCETM
checked on May 23, 2023
checked on May 25, 2023
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.