کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960265 929429 2012 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Market fragility and international market crashes
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Market fragility and international market crashes
چکیده انگلیسی

We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following increases of our risk measure. High levels of our risk measure indicate the probability of a global crash is greater than the probability of a local crash. That is, conditional on high levels of systemic risk, the probability of a severe crash across multiple markets is larger than the probability of a crash within a smaller number of markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 105, Issue 3, September 2012, Pages 565–580
نویسندگان
, ,