Global risk aversion and emerging market return comovements
Yükleniyor...
Dosyalar
Tarih
2018-12
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science SA
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and is consistent with contagion effects. The results underscore the importance of non-cash flow shocks in models of contagion and portfolio risk.
Açıklama
Anahtar Kelimeler
Time-varying correlation, Risk aversion, International equity markets, Constant, Policy, Contagion, Stock market, Volatility spillovers
Kaynak
Economics Letters
WoS Q Değeri
Q3
Scopus Q Değeri
Q2
Cilt
173
Sayı
Künye
Demirer, R., Omay, T., Yüksel, A. & Yüksel, S. A. (2018). Global risk aversion and emerging market return comovements. Economics Letters, 173, 118-121. doi:10.1016/j.econlet.2018.09.027
