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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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  • Anthony S. Tay
  • Aamir R. Hashmi

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

Suggested Citation

  • 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.
    • Handle: RePEc:ecm:feam04:634
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    References listed on IDEAS

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    More about this item

    Keywords

    Asymmetries; Skewness; Volatility; Spillover; Stock returns; News.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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