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

56 Pages Posted: 2 May 2007  

Aamir Rafique Hashmi

University of Calgary - Department of Economics; University of Calgary

Anthony S. Tay

Singapore Management University - School of Economics

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 are used to measure mean, variance, and skewness spillovers. We find that incorporating time-varying conditional skewness improves the fit of our spillover models, and can alter measurements of variance spillovers. However, time-varying conditional skewness is mostly a local phenomenon; with exceptions, there is little spillover in skewness from global and regional factors.

Keywords: Asymmetries, Skewness, Volatility, Spillover, Stock returns

JEL Classification: G15, C53

Suggested Citation

Hashmi, Aamir Rafique and Tay, Anthony S., Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models With Time-Varying Conditional Skewness. Journal of International Money and Finance, Vol. 26, No. 3, pp. 430-453, 2007 . Available at SSRN: https://ssrn.com/abstract=983823

Aamir Rafique Hashmi

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada

University of Calgary ( email )

2500 University Drive NW
Calgary, Alberta T2N 1N4
Canada

HOME PAGE: http://aamirhashmi.com

Anthony S. Tay (Contact Author)

Singapore Management University - School of Economics ( email )

90 Stamford Road
178903
Singapore

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