Global Risk Aversion and Emerging Market Return Comovements

Download or read book Global Risk Aversion and Emerging Market Return Comovements written by Riza Demirer and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and supports the flight-to-safety phenomenon. The results underscore the importance of non-cash flow shocks in models of contagion and portfolio risk.