Market fragility and international market crashes

• 成果类型: Article
• 署名作者: Berger, Dave; Pukthuanthong, Kuntara
• 署名单位: Oregon State University; California State University System; San Diego State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.03.009
• 发表日期: 2012
• 页码: 565-580
• 关键词: Financial crises; Systemic risk; crash; fragility

摘要

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. (C) 2012 Elsevier B.V. All rights reserved.