Article ID Journal Published Year Pages File Type
11023412 Economics Letters 2018 12 Pages PDF
Abstract
Utilizing 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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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