International determinants of asymmetric dependence in investment returns

51 Pages Posted: 29 Apr 2020 Last revised: 5 Jan 2022

See all articles by Jamie Alcock

Jamie Alcock

University of Oxford

Petra Sinagl

University of Iowa - Department of Finance

Date Written: November 22, 2021

Abstract

International investors require additional compensation, charged on top of the systematic risk premium, to hold assets displaying asymmetric dependence in returns. We document that the degree and pricing of asymmetric dependence differs substantially across the 38 markets examined. Asymmetric dependence strengthens in fast-developing equity markets. We propose policy actions aimed at improving firm competition levels through reducing restrictions for new firms to enter financial markets, which may help stabilize markets and reduce conditional risk levels of equities during downturn events.

Keywords: International Asset Pricing, Asymmetric Dependence, State-Dependent Return Correlations

JEL Classification: G12

Suggested Citation

Alcock, Jamie and Sinagl, Petra, International determinants of asymmetric dependence in investment returns (November 22, 2021). Journal of International Money and Finance, Vol. 122, April 2022, Available at SSRN: https://ssrn.com/abstract=3568496 or http://dx.doi.org/10.2139/ssrn.3568496

Jamie Alcock

University of Oxford ( email )

Mansfield Road
Oxford, Oxfordshire OX1 4AU
United Kingdom

Petra Sinagl (Contact Author)

University of Iowa - Department of Finance ( email )

Iowa City, IA 52242-1000
United States

HOME PAGE: http://andrlikova.com

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
51
Abstract Views
473
rank
527,843
PlumX Metrics