Global risk aversion spillover dynamics and investors’ attention allocation

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dc.contributor.authorCeylan, Özcan
dc.date.accessioned2025-02-06T18:01:23Z
dc.date.available2025-02-06T18:01:23Z
dc.date.issued2017
dc.departmentAltınbaş Üniversitesien_US
dc.description.abstractThis paper investigates market-wide risk aversion in an international setting. Particularly, this empirical study evaluates risk aversion spillover dynamics as an uncertainty transmission mechanism for the period 2000-2015 to reveal if there has been a significant change in these dynamics when markets are going through turbulent periods. As a plausible proxy for risk aversion, variance risk premium (VRP) is computed through the difference between expected variances under risk-neutral and physical measures for seven markets studied: United States, United Kingdom, Germany, France, Netherlands, Switzerland and Japan. Effects of a shock to U.S. VRP on the other markets’ VRPs are evaluated through Generalized Forecast Error Variance Decomposition. Results show that risk aversion spillovers from U.S. to other markets are stronger while the U.S. is going through turbulent periods confirming the intuition that investors are more focused on incidents in the turbulent market. Markets become more connected in terms of sentiments when a country is unexpectedly hit by a major crisis, limiting diversification opportunities. © 2017, Central University of Finance and Economics. All rights reserved.en_US
dc.identifier.endpage109en_US
dc.identifier.issn1529-7373
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85015386579
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage99en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12939/5378
dc.identifier.volume18en_US
dc.indekslendigikaynakScopus
dc.institutionauthorCeylan, Özcan
dc.language.isoenen_US
dc.publisherCentral University of Finance and Economicsen_US
dc.relation.ispartofAnnals of Economics and Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.snmzKA_Scopus_20250206
dc.subjectFinancial crisesen_US
dc.subjectGeneralized forecast error variance decompositionen_US
dc.subjectInvestor sentimenten_US
dc.subjectInvestors’ attention allocationen_US
dc.subjectRisk aversion spilloversen_US
dc.subjectVariance risk premiumen_US
dc.titleGlobal risk aversion spillover dynamics and investors’ attention allocationen_US
dc.typeArticleen_US

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