Munich Personal RePEc Archive

Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific

Ogbonna, Ahamuefula and Olubusoye, Olusanya E (2021): Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific. Published in: Asian Economic Letters , Vol. 2, No. 3 (9 July 2021)

[img]
Preview
PDF
MPRA_paper_109922.pdf

Download (865kB) | Preview

Abstract

Hinging on the recently established relevance of tail thickness information, we examine the predictability of fifteen major stocks in the Asia-Pacific region using conditional autoregressive value at risk (CAViaR) model estimates of tail risks. We used a Westerlund and Narayan–type distributed lag model to examine the nexus between returns and tail risk under controlled global and US stocks spillover effects. Country-specific tail risks induce a near-term rise (completely disappears) in returns on “bad” (“good”) days. Our results are robust.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.