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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
Aamir R. Hashmi (National University of Singapore)
Anthony S. Tay () (National University of Singapore)

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Abstract

This study examines 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. Besides conditional heteroskedasticity, the models allow shocks to have time-varying conditional skewness. The global factor appears less important for market volatility in models that permit time-varying conditional skewness. The influence of regional and global factors on risk is small in most of the markets, except in the late 1990s during which the regional factor accounted for a substantial portion of negative skewness in the markets' returns distribution.

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Paper provided by National University of Singapore, Department of Economics in its series Departmental Working Papers with number wp0116.

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Length: 46 pages
Date of creation: Nov 2001
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Handle: RePEc:nus:nusewp:wp0116

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Keywords: Asymmetries Skewness Volatility Spillover Stock returns

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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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  15. Aamir R. Hashmi & Anthony S. Tay, 2001. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Departmental Working Papers wp0116, National University of Singapore, Department of Economics. [Downloadable!]
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  16. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August. [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!]
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