Global risk aversion and emerging market return comovements

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dc.authoridDemirer, Riza/0000-0002-1840-8085
dc.authorscopusid8710630000
dc.authorscopusid23978235900
dc.authorscopusid35225680700
dc.authorscopusid12446092400
dc.authorwosidDemirer, Riza/D-2981-2015
dc.authorwosidYuksel, Aydin/D-1694-2019
dc.contributor.authorOmay, Tolga
dc.contributor.authorOmay, Tolga
dc.contributor.authorYuksel, Asli
dc.contributor.authorYuksel, Aydin
dc.contributor.otherEconomics
dc.date.accessioned2024-07-05T15:28:27Z
dc.date.available2024-07-05T15:28:27Z
dc.date.issued2018
dc.departmentAtılım Universityen_US
dc.department-temp[Demirer, Riza] Southern Illinois Univ, Dept Econ & Finance, Edwardsville, IL 62026 USA; [Omay, Tolga] Atilim Univ, Dept Econ, Ankara, Turkey; [Yuksel, Asli] Bahcesehir Univ, Dept Int Finance, TR-34349 Istanbul, Turkey; [Yuksel, Aydin] Isik Univ, Dept Management, TR-34980 Istanbul, Turkeyen_US
dc.descriptionDemirer, Riza/0000-0002-1840-8085;en_US
dc.description.abstractUtilizing 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.en_US
dc.identifier.citation35
dc.identifier.doi10.1016/j.econlet.2018.09.027
dc.identifier.endpage121en_US
dc.identifier.issn0165-1765
dc.identifier.issn1873-7374
dc.identifier.scopus2-s2.0-85054467585
dc.identifier.startpage118en_US
dc.identifier.urihttps://doi.org/10.1016/j.econlet.2018.09.027
dc.identifier.urihttps://hdl.handle.net/20.500.14411/2804
dc.identifier.volume173en_US
dc.identifier.wosWOS:000451936100028
dc.identifier.wosqualityQ3
dc.language.isoenen_US
dc.publisherElsevier Science Saen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectTime-varying correlationen_US
dc.subjectRisk aversionen_US
dc.subjectInternational equity marketsen_US
dc.titleGlobal risk aversion and emerging market return comovementsen_US
dc.typeArticleen_US
dspace.entity.typePublication
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