Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution
شناسایی بازارهای مهم سیستمیک از یک نقطه نظر جهانی: استفاده از دیدگاه ADCC ΔCoVaR با توزیع t چوله-2018
The objective of this paper is to evaluate the risk contributions of G7 and BRICS stock markets based on the Asymmetric Dynamic Conditional Correlation (ADCC) Delta Conditional Value at Risk (ΔCoVaR) measurement with skewed-t distribution. Our empirical results reveal that developed markets contribute relatively more to global systemic risk than emerging markets. Notably, among all markets, Brazil is second only to the US for contributing the most risk to the global system during periods of distress. Conversely, Japan contributed the least amount of systemic risk. The results of this study can significantly help the entire community of researchers and security regulators in monitoring systemic risk and promoting financial stability.
keywords: Systemic risk contribution| Global financial crisis| ADCC| CoVaR
Risk contribution of the Chinese stock market to developed markets in the post-crisis period
سهم ریسک از بازار سهام چینی به بازارهای توسعه یافته در دوره پس از بحران-2018
China sped up its progress toward the opening of its stock market in the post-crisis period after 2010. This study aims to investigate the risk contribution of the Chinese stock mar ket to four representative developed markets. The significance and dominance of the risk contribution are tested with the extended Kolmogorov-Smirnov statistic by a bootstrap strategy. The results show a significant risk contribution of China to all the four developed countries. The dominance testing result shows clear regional effect in the risk contribution. The determinants of the risk contribution by macroeconomic variables are also identified in a forward-looking way.
Keywords: Chinese stock market ، Risk contribution ، CoVaR ، Tail risk