Risk Synchronization in International Stock Markets
| dc.contributor.author | Chuliá Soler, Helena | |
| dc.contributor.author | Pinchao, Andrés D. | |
| dc.contributor.author | Uribe Gil, Jorge Mario | |
| dc.date.accessioned | 2018-05-08T12:42:46Z | |
| dc.date.available | 2019-07-01T05:10:14Z | |
| dc.date.issued | 2018 | |
| dc.date.updated | 2018-05-08T12:42:46Z | |
| dc.description.abstract | We explore international risk synchronization in global stock markets over the last two decades. To this end, we construct global indices of risk synchronization based on individual estimations of market risk and their aggregation via spatial correlations. We then use these indices to analyze the effects of several financial crises on market risk synchronization. Our results reveal different risk-profile dynamics for mature and emerging markets. Contrary to general reports, we also find that not all financial crises induce a higher level of synchronization among markets, at least in relative terms. Indeed, some crises had the opposite effect, that is, a decoupling of market risk. | |
| dc.format.extent | 16 p. | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.idgrec | 675357 | |
| dc.identifier.issn | 1226-508X | |
| dc.identifier.uri | https://hdl.handle.net/2445/122206 | |
| dc.language.iso | eng | |
| dc.publisher | Taylor and Francis | |
| dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1080/1226508X.2017.1407952 | |
| dc.relation.ispartof | Global Economic Review, 2018, vol. 47, num. 2, p. 135-150 | |
| dc.relation.uri | https://doi.org/10.1080/1226508X.2017.1407952 | |
| dc.rights | (c) Taylor and Francis, 2018 | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | |
| dc.subject.classification | Risc (Economia) | |
| dc.subject.classification | Sincronització | |
| dc.subject.classification | Borsa de valors | |
| dc.subject.classification | Mercat financer | |
| dc.subject.classification | Correlació (Estadística) | |
| dc.subject.other | Risk | |
| dc.subject.other | Synchronization | |
| dc.subject.other | Stock-exchange | |
| dc.subject.other | Financial market | |
| dc.subject.other | Correlation (Statistics) | |
| dc.title | Risk Synchronization in International Stock Markets | |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/acceptedVersion |
Fitxers
Paquet original
1 - 1 de 1