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Long-horizon consumption risk and the cross-section of returns : new tests and international evidence
Grammig, Joachim; Schrimpf, Andreas; Schuppli, Michael - 2009
the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account … long-horizon Consumption CAPM. -- Consumption-based Asset Pricing ; Long-Run Consumption Risk ; Value Puzzle …
Persistent link: https://www.econbiz.de/10003857784
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Coskewness and Reversal of Momentum Returns : The US and International Evidence
Dong, Liang; Dai, Yiqing; Haque, Tariq H.; Kot, Hung Wan; … - 2022
The winner-minus-loser (WML) momentum strategy carries an inherent downside as its returns have negative coskewness. We propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61% and that of the volatility-managed momentum...
Persistent link: https://www.econbiz.de/10014244862
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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232
Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 … mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the US and China's two markets; thus …
Persistent link: https://www.econbiz.de/10011296721
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Enter the Dragon : Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010
Burdekin, Richard C. K. - 2012
This paper applies a variety of short-run and long-run time series techniques to data on a broad group of Asia-Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia-Pacific...
Persistent link: https://www.econbiz.de/10013113708
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Enter the Dragon : Interactions between Chinese, US and Asia‐Pacific Equity Markets, 1995‐2010
Burdekin, Richard C. K. - 2012
This paper applies a variety of short‐run and long‐run time series techniques to data on a broad group of Asia‐Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the...
Persistent link: https://www.econbiz.de/10013114360
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Enter the Dragon : Interactions between Chinese, U.S. and Asia-Pacific Equity Markets, 1995-2010
Burdekin, Richard C. K.; Siklos, Pierre L. - 2022
This paper applies a variety of short-run and long-run time series techniques to data on a broad group of Asia-Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia-Pacific...
Persistent link: https://www.econbiz.de/10013292362
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …
Persistent link: https://www.econbiz.de/10012309325
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Dependence Structures in Chinese and U.S. Financial Markets : A Time-Varying Conditional Copula Approach
Hu, Jian - 2008
markets is much lower in China than in the U.S …
Persistent link: https://www.econbiz.de/10014213182
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003889148