Time-varying risk preferences and emerging market co-movements

Kwing Hung Timothy Chue

doi:10.1016/S0261-5606(02)00012-8

Time-varying risk preferences and emerging market co-movements

Kwing Hung Timothy Chue

Research output: Journal article publication › Journal article › Academic research › peer-review

12 Citations (Scopus)

Abstract

This paper examines how shocks can transmit across international stock markets through the channel of time-varying investor risk preferences. We highlight the effects of this channel by comparing the conventional constant relative risk aversion utility function with the habit-formation utility function of Campbell and Cochrane (J. Pol. Econ. 107 (1999) 205). Calibrating our model with 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.

Original language	English
Pages (from-to)	1053-1072
Number of pages	20
Journal	Journal of International Money and Finance
Volume	21
Issue number	7
DOIs	https://doi.org/10.1016/S0261-5606(02)00012-8
Publication status	Published - 1 Dec 2002
Externally published	Yes

Keywords

Correlations and co-movements
Emerging market stock returns
Financial market integration
Habit-formation
Time-varying risk preferences

ASJC Scopus subject areas

Finance
Economics and Econometrics

More information

10.1016/S0261-5606(02)00012-8

Cite this

@article{a51c054b36984c4abdab038bc32727cb,

title = "Time-varying risk preferences and emerging market co-movements",

abstract = "This paper examines how shocks can transmit across international stock markets through the channel of time-varying investor risk preferences. We highlight the effects of this channel by comparing the conventional constant relative risk aversion utility function with the habit-formation utility function of Campbell and Cochrane (J. Pol. Econ. 107 (1999) 205). Calibrating our model with 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.",

keywords = "Correlations and co-movements, Emerging market stock returns, Financial market integration, Habit-formation, Time-varying risk preferences",

author = "Chue, {Kwing Hung Timothy}",

year = "2002",

month = dec,

day = "1",

doi = "10.1016/S0261-5606(02)00012-8",

language = "English",

volume = "21",

pages = "1053--1072",

journal = "Journal of International Money and Finance",

issn = "0261-5606",

publisher = "Elsevier B.V.",

number = "7",

}

TY - JOUR

T1 - Time-varying risk preferences and emerging market co-movements

AU - Chue, Kwing Hung Timothy

PY - 2002/12/1

Y1 - 2002/12/1

N2 - This paper examines how shocks can transmit across international stock markets through the channel of time-varying investor risk preferences. We highlight the effects of this channel by comparing the conventional constant relative risk aversion utility function with the habit-formation utility function of Campbell and Cochrane (J. Pol. Econ. 107 (1999) 205). Calibrating our model with 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.

AB - This paper examines how shocks can transmit across international stock markets through the channel of time-varying investor risk preferences. We highlight the effects of this channel by comparing the conventional constant relative risk aversion utility function with the habit-formation utility function of Campbell and Cochrane (J. Pol. Econ. 107 (1999) 205). Calibrating our model with 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.

KW - Correlations and co-movements

KW - Emerging market stock returns

KW - Financial market integration

KW - Habit-formation

KW - Time-varying risk preferences

UR - http://www.scopus.com/inward/record.url?scp=0036889238&partnerID=8YFLogxK

U2 - 10.1016/S0261-5606(02)00012-8

DO - 10.1016/S0261-5606(02)00012-8

M3 - Journal article

SN - 0261-5606

VL - 21

SP - 1053

EP - 1072

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

IS - 7

ER -

Time-varying risk preferences and emerging market co-movements

Abstract

Keywords

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this