Risk Synchronization in International Stock Markets

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 ef...

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Detalhes bibliográficos
Autores: Chuliá Soler, Helena, Pinchao, Andrés D., Uribe Gil, Jorge Mario
Formato: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2018
País:España
Recursos:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/122206
Acesso em linha:https://hdl.handle.net/2445/122206
Access Level:acceso abierto
Palavra-chave:Risc (Economia)
Sincronització
Borsa de valors
Mercat financer
Correlació (Estadística)
Risk
Synchronization
Stock-exchange
Financial market
Correlation (Statistics)
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repository_id_str
spelling Risk Synchronization in International Stock MarketsChuliá Soler, HelenaPinchao, Andrés D.Uribe Gil, Jorge MarioRisc (Economia)SincronitzacióBorsa de valorsMercat financerCorrelació (Estadística)RiskSynchronizationStock-exchangeFinancial marketCorrelation (Statistics)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.Taylor and Francis2018info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2445/122206Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésVersió postprint del document publicat a: https://doi.org/10.1080/1226508X.2017.1407952Global Economic Review, 2018, vol. 47, num. 2, p. 135-150https://doi.org/10.1080/1226508X.2017.1407952(c) Taylor and Francis, 2018info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1222062026-05-27T06:46:51Z
dc.title.none.fl_str_mv Risk Synchronization in International Stock Markets
title Risk Synchronization in International Stock Markets
spellingShingle Risk Synchronization in International Stock Markets
Chuliá Soler, Helena
Risc (Economia)
Sincronització
Borsa de valors
Mercat financer
Correlació (Estadística)
Risk
Synchronization
Stock-exchange
Financial market
Correlation (Statistics)
title_short Risk Synchronization in International Stock Markets
title_full Risk Synchronization in International Stock Markets
title_fullStr Risk Synchronization in International Stock Markets
title_full_unstemmed Risk Synchronization in International Stock Markets
title_sort Risk Synchronization in International Stock Markets
dc.creator.none.fl_str_mv Chuliá Soler, Helena
Pinchao, Andrés D.
Uribe Gil, Jorge Mario
author Chuliá Soler, Helena
author_facet Chuliá Soler, Helena
Pinchao, Andrés D.
Uribe Gil, Jorge Mario
author_role author
author2 Pinchao, Andrés D.
Uribe Gil, Jorge Mario
author2_role author
author
dc.subject.none.fl_str_mv Risc (Economia)
Sincronització
Borsa de valors
Mercat financer
Correlació (Estadística)
Risk
Synchronization
Stock-exchange
Financial market
Correlation (Statistics)
topic Risc (Economia)
Sincronització
Borsa de valors
Mercat financer
Correlació (Estadística)
Risk
Synchronization
Stock-exchange
Financial market
Correlation (Statistics)
description 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.
publishDate 2018
dc.date.none.fl_str_mv 2018
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/122206
url https://hdl.handle.net/2445/122206
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1080/1226508X.2017.1407952
Global Economic Review, 2018, vol. 47, num. 2, p. 135-150
https://doi.org/10.1080/1226508X.2017.1407952
dc.rights.none.fl_str_mv (c) Taylor and Francis, 2018
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Taylor and Francis, 2018
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor and Francis
publisher.none.fl_str_mv Taylor and Francis
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869406396170108928
score 15,301603

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