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Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific

Author

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  • Ahamuefula E. Ogbonna
  • Olusanya E. Olubusoye

    (Centre for Econometric and Allied Research & Department of Statistics, University of Ibadan, Nigeria)

Abstract

Hinging on the recently established relevance of tail thickness information, we examine the predictability of fifteen major stocks in the Asia-Pacific region using conditional autoregressive value at risk (CAViaR) model estimates of tail risks. We used a Westerlund and Narayan–type distributed lag model to examine the nexus between returns and tail risk under controlled global and US stocks spillover effects. Country-specific tail risks induce a near-term rise (completely disappears) in returns on “bad†(“good†) days. Our results are robust.

Suggested Citation

  • Ahamuefula E. Ogbonna & Olusanya E. Olubusoye, 2021. "Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
    • Handle: RePEc:ayb:jrnael:40
    DOI: 2021/10/06
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    References listed on IDEAS

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    More about this item

    Keywords

    tail risks; predictability; conditional autoregressive value at risk;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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