TY  - JOUR
AB  - Purpose The purpose of this paper is to examine the spillover effects in international financial markets related to investors’ risk aversion as proxied by the variance premium, and how these relationships were affected by the quantitative easing (QE) announcements by the Federal Reserve.Design/methodology/approach The empirical analysis employs a multivariate exponential generalized autoregressive conditionally heteroskedastic (VAR-EGARCH) specification, which includes the USA, the UK, Germany, France and Switzerland.Findings Two main findings are raised from the empirical analysis. First, the VAR-EGARCH model identifies statistically significant spillover effects identifying the USA as the leading source driving investors’ risk aversion. Second, unconventional monetary easing announcement by the Fed has had significant effects on investors’ risk perspectives.Practical implications Accounting for the dynamic volatility of variance premium inter-dependencies, the authors show that the correlations among variance premia increase during the QE announcements by the Federal Reserve, suggesting a herding behavior that may potentially lead to stock price bubbles and undermine financial stability.Originality/value This is an empirical attempt that investigates the unexplored effects of unconventional monetary policy decisions in relation with investors’ attitudes toward risk.
VL  - 12
IS  - 2
SN  - 1940-5979
DO  - 10.1108/RBF-02-2019-0027
UR  - https://doi.org/10.1108/RBF-02-2019-0027
AU  - Fassas Athanasios
AU  - Papadamou Stephanos
AU  - Philippas Dionisis
PY  - 2019
Y1  - 2019/01/01
TI  - Investors’ risk aversion integration and quantitative easing
T2  - Review of Behavioral Finance
PB  - Emerald Publishing Limited
SP  - 170
EP  - 183
Y2  - 2024/04/19
ER  -