کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5063326 | 1476685 | 2009 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The tail risk of emerging stock markets
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The tail risk of emerging stock markets The tail risk of emerging stock markets](/preview/png/5063326.png)
چکیده انگلیسی
We investigate tail risk in emerging stock markets at the country, regional and world levels, by comparing the investable and non-investable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Employing the skewed Student-t GJR-GARCH model and the SJC copula, we show that most investable portfolios have lower tail risk but higher tail dependence than non-investable ones; emerging markets are likely more dependent on the world market during large joint losses than large joint gains; and tail dependence of the aggregate and investable markets on the world market varies across countries and regions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 10, Issue 4, December 2009, Pages 242-256
Journal: Emerging Markets Review - Volume 10, Issue 4, December 2009, Pages 242-256
نویسندگان
Xiao-Ming Li, Lawrence C. Rose,