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Article Citation - WoS: 47Citation - Scopus: 47Global Risk Aversion and Emerging Market Return Comovements(Elsevier Science Sa, 2018) Demirer, Riza; Omay, Tolga; Yuksel, Asli; Yuksel, AydinUtilizing 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.Article Citation - WoS: 5Citation - Scopus: 5Nonlinear Error Correction Based Cointegration Test in Panel Data(Elsevier Science Sa, 2017) Omay, Tolga; Emirmahmutoglu, Furkan; Denaux, Zulal S.We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties. (C) 2017 Elsevier B.V. All rights reserved.
