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

  • Aamir R. Hashmi

    (National University of Singapore)

  • Anthony S. Tay

    ()

    (National University of Singapore)

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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File URL: http://www.fas.nus.edu.sg/ecs/pub/wp/wp0116.pdf
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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
Date of revision:
Handle: RePEc:nus:nusewp:wp0116
Contact details of provider: Web page: http://www.fas.nus.edu.sg/ecs/index.html

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