Global risk aversion and emerging market return comovements

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dc.authorid0000-0002-1840-8085
dc.authorid0000-0003-0263-2258
dc.authorid0000-0002-8716-9049
dc.authorid0000-0001-9428-0426
dc.contributor.authorDemirer, Rızaen_US
dc.contributor.authorOmay, Tolgaen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Sadettin Aydınen_US
dc.date.accessioned2018-12-24T01:26:36Z
dc.date.available2018-12-24T01:26:36Z
dc.date.issued2018-12
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractUtilizing 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.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationDemirer, 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.2018.09.027en_US
dc.identifier.doi10.1016/j.econlet.2018.09.027
dc.identifier.endpage121
dc.identifier.issn0165-1765
dc.identifier.issn1873-7374
dc.identifier.scopus2-s2.0-85054467585
dc.identifier.scopusqualityQ2
dc.identifier.startpage118
dc.identifier.urihttps://hdl.handle.net/11729/1431
dc.identifier.urihttp://dx.doi.org/10.1016/j.econlet.2018.09.027
dc.identifier.volume173
dc.identifier.wosWOS:000451936100028
dc.identifier.wosqualityQ3
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakSocial Sciences Citation Index (SSCI)en_US
dc.institutionauthorYüksel, Sadettin Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherElsevier Science SAen_US
dc.relation.ispartofEconomics Lettersen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectTime-varying correlationen_US
dc.subjectRisk aversionen_US
dc.subjectInternational equity marketsen_US
dc.subjectConstanten_US
dc.subjectPolicyen_US
dc.subjectContagionen_US
dc.subjectStock marketen_US
dc.subjectVolatility spilloversen_US
dc.titleGlobal risk aversion and emerging market return comovementsen_US
dc.typeArticleen_US
dspace.entity.typePublication

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