Time-Varying Risk Premiums and Conditional Global Market Risk in Ten European Stock Markets

2009 ◽  
Author(s):  
Jyri Kinnunen ◽  
Mika Vaihekoski
Keyword(s):  
Stock Markets ◽  
Market Risk ◽  
Global Market ◽  
Time Varying ◽  
Risk Premiums ◽  
European Stock Markets

scholarly journals The Evolution Of Risk Premiums In Emerging Stock Markets: The Case Of Latin America And Asia Region

2014 ◽  
Vol 30 (2) ◽  
pp. 353
Author(s):  
Salma Fattoum ◽  
Khaled Guesmi ◽  
Bruno-Laurent Moschetto
Keyword(s):  
Latin America ◽  
Risk Premium ◽  
Regional Integration ◽  
Stock Markets ◽  
Market Risk ◽  
Global Market ◽  
Total Risk ◽  
Risk Premiums ◽  
Regional Market ◽  
Empirical Level

This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in Latin America and Asia over the period 1996-2008. This model allows for three sources of time-varying risks: common international market risk, exchange rate risk, and regional market risk. At the empirical level, we make use of the asymmetric multivariate BEKK-GARCH of Baba et al.s (1990) process to simultaneously estimate the ICAPM. Our results show that the currency risk premium is the most important component of the total premium followed by the global market premium. As for the regional risk, our findings show that it is significantly priced for our studied emerging regions but its contribution to the total risk premium is weak.

Time-varying synchronization of European stock markets

2010 ◽  
Vol 40 (2) ◽  
pp. 393-407 ◽  
Author(s):  
Balázs Égert ◽  
Evžen Kočenda
Keyword(s):  
Stock Markets ◽  
Time Varying ◽  
European Stock Markets

scholarly journals Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ramona Serrano Bautista ◽  
José Antonio Nuñez Mora
Keyword(s):  
At Risk ◽  
Latin America ◽  
Stock Markets ◽  
Value At Risk ◽  
Predictive Performance ◽  
Market Risk ◽  
Global Market ◽  
Garch Models ◽  
Content Type ◽  
Emerging Stock Markets

PurposeThis paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods.Design/methodology/approachMany VaR estimation models have been presented in the literature. In this paper, the VaR is estimated using the Generalized Autoregressive Conditional Heteroskedasticity, EGARCH and GJR-GARCH models under normal, skewed-normal, Student-t and skewed-Student-t distributional assumptions and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR) considering the four alternative specifications proposed by Engle and Manganelli (2004).FindingsThe results support the robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods. This evidence is based on the results of the backtesting approach that analyzed the predictive performance of the models according to their accuracy.Originality/valueAn important issue in market risk is the inaccurate estimation of risk since different VaR models lead to different risk measures, which means that there is not yet an accepted method for all situations and markets. In particular, quantifying and forecasting the risk for the MILA and ASEAN-5 stock markets is crucial for evaluating global market risk since the MILA is the biggest stock exchange in Latin America and the ASEAN region accounted for 11% of the total global foreign direct investment inflows in 2014. Furthermore, according to the Asian Development Bank, this region is projected to average 7% annual growth by 2025.

scholarly journals Time-varying extreme value dependence with application to leading European stock markets

2018 ◽  
Vol 12 (1) ◽  
pp. 283-309 ◽  
Author(s):  
Daniela Castro-Camilo ◽  
Miguel de Carvalho ◽  
Jennifer Wadsworth
Keyword(s):  
Stock Markets ◽  
Extreme Value ◽  
Time Varying ◽  
European Stock Markets

scholarly journals The Effect of COVID-19 on Herding Behavior in Eastern European Stock Markets

2021 ◽  
Vol 9 ◽  
Author(s):  
Hao Fang ◽  
Chien-Ping Chung ◽  
Yen-Hsien Lee ◽  
Xiaohan Yang
Keyword(s):  
Stock Markets ◽  
Spillover Effect ◽  
Global Market ◽  
Eastern European ◽  
Herding Behavior ◽  
Market Returns ◽  
The Czech Republic ◽  
The World ◽  
European Stock Markets ◽  
The Impact

Unlike past health crises that were more localized, the highly contagious coronavirus disease 2019 (COVID-19) crisis is impacting the world to an unprecedented extent. This is the first study examining how and whether the COVID-19 pandemic affects herding behavior in the Eastern European stock markets. Using samples from the stock markets of Russia, Poland, the Czech Republic, Hungary, Croatia, and Slovenia from January 1, 2010 to March 10, 2021, we demonstrate that the COVID-19 pandemic has increased herding behavior in all the sample stock markets. Our results show that the COVID-19 crisis reinforces the impact of global market returns on herding behavior in these specific stock markets. We find that COVID-19 strengthens the spillover effect of regional herding on herding behavior. Thus, financial authorities should monitor investors in the stock market to avoid the increase in herding behavior as well as the reinforcement of the global market returns and regional return dispersion on herding during the period of pandemic.

scholarly journals Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific

2021 ◽  
Vol 25 (3) ◽  
pp. 466-491
Author(s):  
Hayun Kusumah ◽  
Marwan Asri ◽  
Kusdhianto Setiawan ◽  
Bowo Setiyono
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Market Integration ◽  
Global Market ◽  
Asia Pacific ◽  
Dominant Factor ◽  
Time Varying ◽  
Regional Market ◽  
Regional Perspective

This study investigates the time-varying integration of stock markets from a global and regional perspective, the consequences of two major global financial crises, i.e., the Asian Financial Crisis and the subprime mortgage, and the Crisis triggered by COVID-19. We contribute to the growing amount of literature on market integration, especially on the role of regional to global market integration. Although regional integration encourages an acceleration of global integration, the effect of a regional factor is not uniform among regions. It is important to understand regional to global market integration and the consequences during the crises. This study employs time-series data from economic territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification. It introduces an alternative measurement of time-varying integration by considering the correlation of regional and global markets using a simple international model, equivalent to the capital asset pricing model (CAPM). The result shows that the market integrations are time-varying both globally and regionally. The domestic markets are affected by the global market and its regional market, as the role of a regional market emerges during the financial crisis period. We find the different responses of stock markets during the Covid-19 period as a dominant factor to exacerbate the market return globally. In the long run, the upward trend for the regional market integration in both developed and emerging markets is inherent to the global market integration.DOI: 10.26905/jkdp.v25i3.5822

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