International transmission of risk factor movements: The case of developed markets
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, Hyung-Suk | - |
dc.contributor.author | Ryu, Doojin | - |
dc.contributor.author | Yang, Heejin | - |
dc.date.available | 2020-09-14T09:05:25Z | - |
dc.date.created | 2018-09-13 | - |
dc.date.issued | 2018-03 | - |
dc.identifier.issn | 1029-3523 | - |
dc.identifier.uri | http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/39240 | - |
dc.description.abstract | Under the Carhart four-factor system, this study examines the international transmission mechanism among country-specific risk factors by focusing on the cross-border transmission of factor innovation. We find that international stock markets are interrelated with respect to market, size, value and momentum factors, and developed countries play different roles in each factor system. Moreover, the United States (US) plays a dominant role in the market factor system, with US innovations in terms of size and momentum factors being significantly transmitted to other markets, whereas its influence on the value factor seems marginal. The United Kingdom is found to be the most influential market in the size factor system. Finally, Japanese value factor innovations better explain Hong Kong variance than US value factor innovations. Our results indicate that international exposure to risk factors can be exploited to implement effective hedging strategies and manage globally diversified portfolio risks. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | INVESTMENT ANALYSTS SOC SOUTHERN AFRICA | - |
dc.relation.isPartOf | INVESTMENT ANALYSTS JOURNAL | - |
dc.subject | STOCK RETURNS | - |
dc.subject | INVESTOR SENTIMENT | - |
dc.subject | EMERGING MARKET | - |
dc.subject | SIZE | - |
dc.subject | JSE | - |
dc.subject | DYNAMICS | - |
dc.subject | MOMENTUM | - |
dc.subject | INDEXES | - |
dc.subject | SYSTEMS | - |
dc.subject | GROWTH | - |
dc.title | International transmission of risk factor movements: The case of developed markets | - |
dc.type | Article | - |
dc.identifier.doi | 10.1080/10293523.2018.1457836 | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | INVESTMENT ANALYSTS JOURNAL, v.47, no.2, pp.111 - 126 | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000437346300003 | - |
dc.identifier.scopusid | 2-s2.0-85050924783 | - |
dc.citation.endPage | 126 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 111 | - |
dc.citation.title | INVESTMENT ANALYSTS JOURNAL | - |
dc.citation.volume | 47 | - |
dc.contributor.affiliatedAuthor | Yang, Heejin | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.subject.keywordAuthor | forecast error variance | - |
dc.subject.keywordAuthor | impulse response function | - |
dc.subject.keywordAuthor | international transmission | - |
dc.subject.keywordAuthor | multi-factor model | - |
dc.subject.keywordAuthor | vector autoregression | - |
dc.subject.keywordPlus | STOCK RETURNS | - |
dc.subject.keywordPlus | INVESTOR SENTIMENT | - |
dc.subject.keywordPlus | EMERGING MARKET | - |
dc.subject.keywordPlus | SIZE | - |
dc.subject.keywordPlus | JSE | - |
dc.subject.keywordPlus | DYNAMICS | - |
dc.subject.keywordPlus | MOMENTUM | - |
dc.subject.keywordPlus | INDEXES | - |
dc.subject.keywordPlus | SYSTEMS | - |
dc.subject.keywordPlus | GROWTH | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Soongsil University Library 369 Sangdo-Ro, Dongjak-Gu, Seoul, Korea (06978)02-820-0733
COPYRIGHT ⓒ SOONGSIL UNIVERSITY, ALL RIGHTS RESERVED.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.