Global risk aversion and emerging market return comovements

No Thumbnail Available

Date

2018

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier Science Sa

Research Projects

Organizational Units

Thumbnail Image
Organizational Unit
Economics
(1997)
Founded in 1997, the Department of Economics is among the founding departments of our University. The Department offers two extensive undergraduate programs, either in English or in Turkish. Our undergraduate programs are catered to developing our students’ skills of analytical thinking, and to practical education. In this regard, the Social Sciences Research and Training Laboratory, founded under the guidance of our department, offers hands-on training to our own students, students and academicians from other universities, and public institutions. Our Department also offers a Graduate Degree Program in Applied Economy and a Doctorate Degree Program in Political Economy for graduates of undergraduate and graduate degree programs.

Journal Issue

Abstract

Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and is consistent with contagion effects. The results underscore the importance of non-cash flow shocks in models of contagion and portfolio risk. (C) 2018 Elsevier B.V. All rights reserved.

Description

Demirer, Riza/0000-0002-1840-8085;

Keywords

Time-varying correlation, Risk aversion, International equity markets

Turkish CoHE Thesis Center URL

Citation

35

WoS Q

Q3

Scopus Q

Source

Volume

173

Issue

Start Page

118

End Page

121

URI

https://doi.org/10.1016/j.econlet.2018.09.027
 https://hdl.handle.net/20.500.14411/2804

Collections

WOS
Scopus