What Drives Emerging Stock Market Returns? A Factor-Augmented VAR Approach
DC Field | Value | Language |
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dc.contributor.author | Kwon, Dohyoung | - |
dc.date.accessioned | 2022-04-04T02:40:18Z | - |
dc.date.available | 2022-04-04T02:40:18Z | - |
dc.date.created | 2021-04-12 | - |
dc.date.issued | 2022-04 | - |
dc.identifier.issn | 1540-496X | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/83892 | - |
dc.description.abstract | This paper explores the dynamic relationship between global economic factors and emerging stock returns within a factor-augmented VAR model. I find that favorable global growth and stock market shocks have significant positive effects on emerging equity returns, whereas global uncertainty and US dollar exchange rate shocks cause a substantial fall in the returns. Global oil shocks lead to a transient increase in emerging stock returns, followed by a gradual decline. Variance decomposition analysis implies that the global uncertainty shock is the most important in the short run, explaining more than 30% of the fluctuation in emerging stock returns, while the US dollar exchange rate shock becomes the most critical in the long run, explaining more than 40%. These findings have crucial implications for international investors, as well as for policymakers in emerging market economies. © 2021 Taylor & Francis Group, LLC. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.relation.isPartOf | Emerging Markets Finance and Trade | - |
dc.title | What Drives Emerging Stock Market Returns? A Factor-Augmented VAR Approach | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000636129900001 | - |
dc.identifier.doi | 10.1080/1540496X.2020.1860748 | - |
dc.identifier.bibliographicCitation | Emerging Markets Finance and Trade, v.58, no.5, pp.1215 - 1232 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-85103625377 | - |
dc.citation.endPage | 1232 | - |
dc.citation.startPage | 1215 | - |
dc.citation.title | Emerging Markets Finance and Trade | - |
dc.citation.volume | 58 | - |
dc.citation.number | 5 | - |
dc.contributor.affiliatedAuthor | Kwon, Dohyoung | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Emerging stock returns | - |
dc.subject.keywordAuthor | F36 | - |
dc.subject.keywordAuthor | F65 | - |
dc.subject.keywordAuthor | factor-augmented VAR | - |
dc.subject.keywordAuthor | G15 | - |
dc.subject.keywordAuthor | global economic factors | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | International Relations | - |
dc.relation.journalWebOfScienceCategory | Business | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | International Relations | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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