Identifying Shock Propagation Mechanisms in Global Equity Markets
Bibliographic record
Abstract
Abstract The intertemporal capital asset pricing model with time-varying price and quantity risk factors, is used to study the propagation mechanisms linking expected risk premia with shocks in global equity markets. The model allows for linear and nonlinear propagation channels with the relationship between expected risk premia and world and country shocks characterized by a bivariate cubic. Using daily data on developed and emerging country equity returns, the empirical results show that country risk prices are exposed to world risks, although the signs differ between developed and emerging countries. Country risk factors are especially important for risk prices in Asia-Pacific countries as well as selected emerging countries. Of the financial risk factors investigated, volatility risk is important for all developed countries, and currency basis risk is important for all emerging countries. The nonlinear propagation mechanisms linking shocks and expected risk premia are economically significant and show that the size and sign of shocks are important. Implications of the empirical results for international portfolio diversification are also investigated using a range of simulation experiments.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.007 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.001 |
| Bibliometrics | 0.001 | 0.000 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".