dc.contributor.author | Demirer, Rıza | en_US |
dc.contributor.author | Omay, Tolga | en_US |
dc.contributor.author | Yüksel, Aslı | en_US |
dc.contributor.author | Yüksel, Sadettin Aydın | en_US |
dc.date.accessioned | 2018-12-24T01:26:36Z | |
dc.date.available | 2018-12-24T01:26:36Z | |
dc.date.issued | 2018-12 | |
dc.identifier.citation | Demirer, R., Omay, T., Yüksel, A. & Yüksel, S. A. (2018). Global risk aversion and emerging market return comovements. Economics Letters, 173, 118-121. doi:10.1016/j.econlet.2018.09.027 | en_US |
dc.identifier.issn | 0165-1765 | |
dc.identifier.issn | 1873-7374 | |
dc.identifier.uri | https://hdl.handle.net/11729/1431 | |
dc.identifier.uri | http://dx.doi.org/10.1016/j.econlet.2018.09.027 | |
dc.description.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. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Elsevier Science SA | en_US |
dc.relation.isversionof | 10.1016/j.econlet.2018.09.027 | |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.subject | Time-varying correlation | en_US |
dc.subject | Risk aversion | en_US |
dc.subject | International equity markets | en_US |
dc.subject | Constant | en_US |
dc.subject | Policy | en_US |
dc.subject | Contagion | en_US |
dc.subject | Stock market | en_US |
dc.subject | Volatility spillovers | en_US |
dc.title | Global risk aversion and emerging market return comovements | en_US |
dc.type | article | en_US |
dc.description.version | Publisher's Version | en_US |
dc.relation.journal | Economics Letters | en_US |
dc.contributor.department | Işık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü | en_US |
dc.contributor.department | Işık University, Faculty of Economics and Administrative Sciences, Department of Management | en_US |
dc.contributor.authorID | 0000-0001-9428-0426 | |
dc.identifier.volume | 173 | |
dc.identifier.startpage | 118 | |
dc.identifier.endpage | 121 | |
dc.peerreviewed | Yes | en_US |
dc.publicationstatus | Published | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.contributor.institutionauthor | Yüksel, Sadettin Aydın | en_US |
dc.relation.index | WOS | en_US |
dc.relation.index | Scopus | en_US |
dc.relation.index | Social Sciences Citation Index (SSCI) | en_US |
dc.description.quality | Q3 | |
dc.description.wosid | WOS:000451936100028 | |