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Full-Text Articles in Economics
Global And Regional Sources Of Risk In Equity Markets: Evidence From Factor Models With Time-Varying Conditional Skewness, Aamir R. Hashmi, Anthony S. Tay
Global And Regional Sources Of Risk In Equity Markets: Evidence From Factor Models With Time-Varying Conditional Skewness, Aamir R. Hashmi, Anthony S. Tay
Research Collection School Of Economics
We examine the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using factor models in which unexpected returns comprise global, regional and local shocks. The models allow for conditional heteroskedasticity and time-varying conditional skewness, and are used to measure mean, variance, and skewness spillovers. We find that incorporating time-varying conditional skewness improves the fit of our spillover models, and can alter measurements of variance spillovers. However, time-varying conditional skewness is mostly a local phenomenon; with exceptions, there is little spillover in skewness from global and regional factors.
Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci
Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci
Finance Department Faculty Journal Articles
The impact of financial development of a country on the earnings, capital spending, and stock returns of the firms of that country is the subject of this study. There are two different financial development indices which are utilized. The first is based on Love (2003), and the second is based on Khurana (2006). Using 40 different countries, the causality relationships and cumulative impacts of the lags of earnings and lags of capital spending on subsequent earnings, capital spending, and returns are examined for the financially developed countries and financially non-developed countries. Earnings and capital spending Granger-cause stock returns in financially …