Analyzing the Time-Varying Stock Market Risk-Return Relation

2011 ◽  
Author(s):  
C. N. V. Krishnan ◽  
Ralitsa Petkova
Keyword(s):  
Stock Market ◽  
Market Risk ◽  
Time Varying ◽  
Risk Return

scholarly journals Australias Integration Into The ASEAN-5 Region

2013 ◽  
Vol 29 (6) ◽  
pp. 1607
Author(s):  
Khaled Guesmi ◽  
Frederic Teulon ◽  
Amine Lahiani
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
International Capital ◽  
Dynamic Changes ◽  
Asset Pricing Model ◽  
Regional Market ◽  
Political Events

This paper attempts to evaluate the time-varying integration of Australian stock market in ASEAN-5 region (ASEAN + Australia, Korea, China, India and Japan) by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, regional market risk price, currency risk price and domestic market risk price. Main findings are as follows: i) the prices of risk in Australia are extremely sensitive to major international economic and political events such as the different monetary and financial crises in international financial market; ii) the level of market openness and development of the stock market satisfactorily explain the time-varying degree of Australian stock integration.

scholarly journals On the hedging benefits of REITs: The role of risk aversion and market states

2021 ◽  
Vol 10 (2) ◽  
pp. 126-132
Author(s):  
Riza Demirer ◽  
Asli Yuksel ◽  
Aydin Yuksel
Keyword(s):  
Stock Market ◽  
Risk Aversion ◽  
Risk Reduction ◽  
Significant Risk ◽  
Time Varying ◽  
Hedging Strategy ◽  
Risk Return ◽  
Market Risks ◽  
The U.S

We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia, Canada and the U.S. Overall, our findings suggest that time-varying risk aversion can be utilized to (i) establish effective hedges against stock market risks via positions in REITS, and (ii) improve the risk-return profile of passive portfolios.

Time-Varying Risk-Return Trade-off in the Stock Market

2013 ◽  
Vol 45 (4) ◽  
pp. 623-650 ◽  
Author(s):  
HUI GUO ◽  
ZIJUN WANG ◽  
JIAN YANG
Keyword(s):  
Stock Market ◽  
Time Varying ◽  
Trade Off ◽  
Risk Return

scholarly journals International stock market risk contagion during the COVID-19 pandemic

2021 ◽  
pp. 102145
Author(s):  
Yuntong Liu ◽  
Yu Wei ◽  
Qian Wang ◽  
Yi Liu
Keyword(s):  
Stock Market ◽  
Market Risk
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