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International transmission of risk factor movements: The case of developed markets

Title
International transmission of risk factor movements: The case of developed markets
Authors
Choi H.-S.Ryu D.Yang H.
Ewha Authors
최형석
SCOPUS Author ID
최형석scopus
Issue Date
2018
Journal Title
Investment Analysts Journal
ISSN
1029-3523JCR Link
Citation
Investment Analysts Journal vol. 47, no. 2, pp. 111 - 126
Keywords
Forecast error varianceImpulse response functionInternational transmissionMulti-factor modelVector autoregression
Publisher
Taylor and Francis Ltd.
Indexed
SSCI; SCOPUS WOS scopus
Document Type
Article
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. © 2018 Investment Analysts Society of South Africa.
DOI
10.1080/10293523.2018.1457836
Appears in Collections:
경영대학 > 경영학전공 > Journal papers
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