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Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness

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Author Info
Anthony S. Tay
Aamir R. Hashmi

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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 permit mean, variance and skewness spillovers to be measured. We find that the pattern of spillovers changed in the late 1990s. When spillovers are allowed to vary with the type of news arriving in a market, we find that local news reduces mean spillovers but increases variance spillovers. News about regional countries increases skewness spillovers

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Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 634.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:634

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Related research
Keywords: Asymmetries; Skewness; Volatility; Spillover; Stock returns; News.;

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Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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  22. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 281-307. [Downloadable!] (restricted)
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  1. Anthony S. Tay & Aamir R. Hashmi, 2004. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings 634, Econometric Society. [Downloadable!]
    Other versions:
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