The authors examine the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using
factor models in which unexpected returns comprise global, regional and local shocks. Results of the study indicate that local news reduces mean spillovers but increases variance spillovers. News about regional countries increases skewness spillovers.
Link
http://nt2.fas.nus.edu.sg/ecs/pub/wp/wp0116.pdf