Global Risk Aversion and Emerging Market Return Comovements
| dc.contributor.author | Demirer, Riza | |
| dc.contributor.author | Omay, Tolga | |
| dc.contributor.author | Yuksel, Asli | |
| dc.contributor.author | Yuksel, Aydin | |
| dc.date.accessioned | 2024-07-05T15:28:27Z | |
| dc.date.available | 2024-07-05T15:28:27Z | |
| dc.date.issued | 2018 | |
| dc.description | Demirer, Riza/0000-0002-1840-8085; | en_US |
| dc.description.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. | en_US |
| dc.identifier.doi | 10.1016/j.econlet.2018.09.027 | |
| dc.identifier.issn | 0165-1765 | |
| dc.identifier.issn | 1873-7374 | |
| dc.identifier.scopus | 2-s2.0-85054467585 | |
| dc.identifier.uri | https://doi.org/10.1016/j.econlet.2018.09.027 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14411/2804 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier Science Sa | en_US |
| dc.relation.ispartof | Economics Letters | |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Time-varying correlation | en_US |
| dc.subject | Risk aversion | en_US |
| dc.subject | International equity markets | en_US |
| dc.title | Global Risk Aversion and Emerging Market Return Comovements | en_US |
| dc.type | Article | en_US |
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| gdc.author.id | Demirer, Riza/0000-0002-1840-8085 | |
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| gdc.author.wosid | Demirer, Riza/D-2981-2015 | |
| gdc.author.wosid | Yuksel, Aydin/D-1694-2019 | |
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| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [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, Turkey | en_US |
| gdc.description.endpage | 121 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.startpage | 118 | en_US |
| gdc.description.volume | 173 | en_US |
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| gdc.oaire.keywords | International equity markets | |
| gdc.oaire.keywords | Policy | |
| gdc.oaire.keywords | Contagion | |
| gdc.oaire.keywords | Volatility spillovers | |
| gdc.oaire.keywords | Stock market | |
| gdc.oaire.keywords | Time-varying correlation | |
| gdc.oaire.keywords | Risk aversion | |
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| gdc.virtual.author | Omay, Tolga | |
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