Department of Finance, National Kaohsiung First University;National Chi Nan University;National Chung Hsing University
Abstract:
This paper investigates the relationships among credit hazard, liquidity risk, currency turmoil and equity premia by using VAR and EGARCH-M models. Our results, firstly, show returns of Nikkei 225 Index has AR process. Further, synchronous liquidity risk premia contribute lots of information content to the Nikkei 225 risk premia. In contrast, the credit risk premia, lags JPY/USD exchange rate returns and USDX have a leading information implicit in the Nikkei 225 risk premia. We suggest that the “risk” should refer large scale measurement and the risk premia factor should be considered beyond the return series of equity markets.
