Time-Varying Risk Preferences and Emerging Market Co-Movements

This paper examines how shocks can transmit across markets through the channel of time-varying investor risk preferences. We highlight the effects of this channel by comparing the conventional CRRA utility function with the habit-formation utility function of Campbell and Cochrane (1999). Calibrating our model to data from Argentina, Korea and Mexico, we find that in the presence of time-varying investor risk preferences, market integration generates a substantial increase in cross-country co-movements of stock returns

MoreLess

Year of publication:	[2003]
Authors:	Chue, Timothy K.
Publisher:	[2003]: [S.l.] : SSRN
Subject:	Risikopräferenz \| Risk attitude \| Theorie \| Theory \| Korrelation \| Correlation \| Marktintegration \| Market integration \| CAPM \| Mexiko \| Mexico \| Südkorea \| South Korea \| Aktienmarkt \| Stock market \| Schwellenländer \| Emerging economies \| Argentinien \| Argentina
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of International Money and Finance, Vol. 21, December 2002 Volltext nicht verfügbar
Classification:	G15 - International Financial Markets ; G12 - Asset Pricing ; F30 - International Finance. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012786716