Cross-stock market spillovers through variance risk premiums and equity flows

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Summary, etc.：: We estimate variance risk premiums (VRPs) in the stock markets of major advanced economies (AEs) and emerging market economies (EMEs) over 2007–15 and...

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Material Type: 文書・図像類
Title: Cross-stock market spillovers through variance risk premiums and equity flows
Author/Editor: Hattori, Masazumi
Shim, Ilhyock
Sugihara, Yoshihiko
Author Heading: Hattori, Masazumi
https://nrid.nii.ac.jp/nrid/1000060768349/
Shim, Ilhyock
Sugihara, Yoshihiko
Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
Publication Date: 2018-02
Publication Date (W3CDTF): 2018-02
Contributor: 一橋大学経済研究所世代間問題研究機構 = Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University
Text Language Code: eng
Subject Heading: cross-stock market correlation
emerging market economy
equity fund flow
variance risk premium
Target Audience: 一般
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/29039/cis_dp667.pdf
Access Restrictions: インターネット公開
Periodical Title: CIS Discussion paper series ; No. 667
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources