Journal article
Foreign exchange risk premiums and time-varying equity market risks
International journal of risk assessment and management, v 4(4), pp 310-331
01 Oct 2003
Abstract
This paper investigates the relationship between the excess returns of foreign exchanges and the conditional volatility of domestic and foreign equity markets, based on a wide range of foreign currency market data. Utilising a VAR-GARCH-in-mean process to generate conditional variances, we find evidence to support the time varying, risk-premium hypothesis. Moreover, our evidence shows that the volatility evolution of stock returns displays not only a clustering phenomenon, but also a significant spillover effect. Given the fact that the correlation structure across markets is significant and time varying, investors and portfolio managers should continually assess this information and rebalance their portfolios over time to achieve optimal diversification. [PUBLICATION ABSTRACT]
Metrics
12 Record Views
17 citations in Scopus
Details
- Title
- Foreign exchange risk premiums and time-varying equity market risks
- Creators
- Thomas Chiang - Drexel UniversityYang Sheng-Yung
- Publication Details
- International journal of risk assessment and management, v 4(4), pp 310-331
- Publisher
- Inderscience Enterprises Ltd
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Scopus ID
- 2-s2.0-36749055261
- Other Identifier
- 991019173739704721