Risk Premium Spillovers Among Stock Markets: Evidence from Higher-Order Moments

39 Pages Posted: 5 Mar 2018 Last revised: 12 Oct 2018

See all articles by Marinela Adriana Finta

Marinela Adriana Finta

Singapore Management University

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Date Written: June 10, 2017

Abstract

This paper investigates the volatility, skewness and kurtosis risk premium spillovers among U.S., U.K., German and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress and after 2014, cross-market and cross-moment spillovers increase, and this is mirrored by a decrease in within spillovers. We document strong bi-directional spillovers between skewness and kurtosis risk premia and emphasize the prominent role played by the volatility risk premium. Finally, we show that several macroeconomic and financial factors increase with the intensity of risk premium spillovers.

Keywords: Spillovers, Volatility, Skewness, Kurtosis, Risk-Neutral, Risk Premium

JEL Classification: C58, G01, G15

Suggested Citation

Finta, Marinela Adriana and Aboura, Sofiane, Risk Premium Spillovers Among Stock Markets: Evidence from Higher-Order Moments (June 10, 2017). Available at SSRN: https://ssrn.com/abstract=3129856 or http://dx.doi.org/10.2139/ssrn.3129856

Marinela Adriana Finta (Contact Author)

Singapore Management University ( email )

Li Ka Shing Library
70 Stamford Road
Singapore 178901, 178899
Singapore

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management ( email )

99 avenue Jean-Baptiste
Clément, Villetaneuse 93430
France

Register to save articles to
your library

Register

Paper statistics

Downloads
30
Abstract Views
209
PlumX Metrics