Conditional Market Co-Movements, Welfare, and Contagions: The Role of Time-Varying Risk Aversion

2003 ◽  
Author(s):  
Timothy K. Chue
Keyword(s):  
Risk Aversion ◽  
Time Varying

scholarly journals On the hedging benefits of REITs: The role of risk aversion and market states

2021 ◽  
Vol 10 (2) ◽  
pp. 126-132
Author(s):  
Riza Demirer ◽  
Asli Yuksel ◽  
Aydin Yuksel
Keyword(s):  
Stock Market ◽  
Risk Aversion ◽  
Risk Reduction ◽  
Significant Risk ◽  
Time Varying ◽  
Hedging Strategy ◽  
Risk Return ◽  
Market Risks ◽  
The U.S

We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia, Canada and the U.S. Overall, our findings suggest that time-varying risk aversion can be utilized to (i) establish effective hedges against stock market risks via positions in REITS, and (ii) improve the risk-return profile of passive portfolios.

scholarly journals Risk Appetite and Jumps in Realized Correlation

Mathematics ◽  
2020 ◽  
Vol 8 (12) ◽  
pp. 2255
Author(s):  
Riza Demirer ◽  
Konstantinos Gkillas ◽  
Christos Kountzakis ◽  
Amaryllis Mavragani
Keyword(s):  
Risk Aversion ◽  
Financial Markets ◽  
Cash Flow ◽  
Predictive Power ◽  
Investor Sentiment ◽  
Time Varying ◽  
Risk Appetite ◽  
Diversification Strategies ◽  
Intraday Data

This paper examines the role of non-cash flow factors over correlation jumps in financial markets. Utilizing time-varying risk aversion measure as a proxy for investor sentiment and the cross-quantilogram method applied to intraday data, we show that risk aversion captures significant predictive power over realized stock-bond correlation jumps at different quantiles and lags. The predictive relation between correlation jumps and time-varying risk aversion is found to be asymmetric, as we detect a heterogeneous dependence pattern across different quantiles and lag orders. Our findings underline the importance of non-cash flow factors over correlation jumps, highlighting the role of behavioral factors in optimal portfolio allocations and the effectiveness of diversification strategies.

scholarly journals Collective or Individual? What Types of Tourism Reduce Economic Inequality in Peripheral Regions?

2021 ◽  
Vol 13 (9) ◽  
pp. 4898
Author(s):  
Andrzej Tucki ◽  
Korneliusz Pylak
Keyword(s):  
Peripheral Region ◽  
Time Varying ◽  
Tourism Impacts ◽  
Economic Distress ◽  
Regional Inequalities ◽  
Local Agriculture ◽  
Northeastern Poland ◽  
Per Capita ◽  
The Impact

Regional inequalities are a major concern for governments and policymakers. There is no doubt that tourism impacts the reduction of inequalities, but this impact is not entirely clear. We consider this ambiguity to be related to both the level of study and type of accommodation. In the present study, we examine the inequality level measured by the Gini coefficient in 108 municipalities of the peripheral region of northeastern Poland from 2009 to 2018. We employ a directional spillover index to measure the impact of two accommodation types on tax incomes per capita. The empirical results indicate that collective accommodation-based tourism only reduced inequality during the financial crisis, while individual accommodation-based tourism started to reduce inequality from 2014, when Russian sanctions hit local agriculture and businesses. These results indicate that the role of accommodation types is time-varying and evident in measuring economic distress during and after shocks.

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