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. ISSN 0261-5606

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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:	38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services, Prevention
Depositing User:	Symplectic Admin
Date Deposited:	21 Aug 2019 07:37
Last Modified:	07 Dec 2024 07:28
DOI:	10.1016/j.jimonfin.2019.01.004
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3052279