Ajou University repository

Commonality in Tail Risk Premia around the World
Citations

SCOPUS

0

Citation Export

Publication Year
2023-12
Journal
한국증권학회지
Publisher
한국증권학회
Citation
한국증권학회지, Vol.52 No.6, pp.979-1008
Keyword
Tail RiskTail Risk PremiumCommonalityComovementInternational Stock Market꼬리위험꼬리위험 프리미엄공통성동조화 현상글로벌주식시장
Abstract
This study examines tail risk premia for 44 countries from 1990 to 2015 and provides evidence on the existence of common and systematic components in the variation of tail risk premia across countries. Specifically, we found that individual countries’ tail risk premia significantly comove with U.S., regional, and global tail risk premia. The first five principal components explain all variation in the premia, with the first principal component alone explaining over 30% of the variation. The comovement, or commonality, is stronger for developed market countries and more open countries. We also provide evidence that premia are affected by the U.S. economic environment and global stock market volatility, leading to a common variation in tail risk premia around the world.
ISSN
2005-8187
Language
Eng
URI
https://aurora.ajou.ac.kr/handle/2018.oak/35925
DOI
https://doi.org/10.26845/KJFS.2023.12.52.6.979
Type
Article
Show full item record

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

Related Researcher

Wang,Shu-Feng Image
Wang,Shu-Feng왕수봉
Department of Business Administration
Read More

Total Views & Downloads

File Download

  • There are no files associated with this item.