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| Author: | Chue, T.K. |
| Title: | Time-varying risk preferences and emerging market co-movements |
| Journal: | Journal of International Money and Finance
2002 : DEC, VOL. 21:7, p. 1053-1072 |
| Index terms: | FINANCIAL MARKETS INTEGRATION RISK TIME |
| Language: | eng |
| Abstract: | This paper examines how shocks can transmit across international stock markets through the channel of time-varying investor risk preferences. The authors highlight the effects of this channel by comparing the conventional constant relative risk aversion utility function, with the habit-formation utility function of Campbell and Cochrane (J. Pol Econ. 107(1999) 205). |
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