Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11023412 | Economics Letters | 2018 | 12 Pages |
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
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Authors
Riza Demirer, Tolga Omay, Asli Yuksel, Aydin Yuksel,