International tail risk and World Fear

Hollstein, Fabian, Nguyen, Duc Binh Benno, Prokopczuk, Marcel and Wese Simen, Chardin ORCID: 0000-0003-4119-3024 (2019) International tail risk and World Fear. Journal of International Money and Finance, 93. pp. 244-259.

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Official URL: http://dx.doi.org/10.1016/j.jimonfin.2019.01.004

Abstract

We examine the pricing of tail risk in international stock markets. Studying all MSCI Developed and Emerging Markets countries, we find that the tail risk of these countries is highly integrated. We find that both local and our newly computed global tail risk strongly predict global equity index excess returns. These results hold both in-sample and out-of-sample. Sorting countries into portfolios by their tail risk generates sizable excess returns across various holding periods. Finally, we find that global tail risk is linked to international economic activity.

Item Type:	Article
Uncontrolled Keywords:	Clinical Research
Depositing User:	Symplectic Admin
Date Deposited:	21 Aug 2019 07:37
Last Modified:	17 Mar 2024 04:39
DOI:	10.1016/j.jimonfin.2019.01.004
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3052279