Market fragility and international market crashes

Dave Berger; Kuntara Pukthuanthong

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Market fragility and international market crashes

机译：市场脆弱性和国际市场崩溃

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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.

机译：我们扩展了Pukthuanthong and Roll（2009）的整合测度，以估计国际股票市场中的系统性风险。我们的衡量表明市场崩溃的可能性在增加。随着我们的风险衡量标准的提高，市场崩溃的条件概率大大增加。高级别的风险衡量指标表明，全局崩溃的可能性大于局部崩溃的可能性。也就是说，在系统性风险较高的条件下，跨多个市场发生严重崩溃的可能性大于在少数几个市场中发生崩溃的可能性。

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来源
《Journal of financial economics》 |2012年第3期|p.565-580|共16页
作者
Dave Berger; Kuntara Pukthuanthong;
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作者单位

College of Business, Oregon State University, 200 Bexell Hall, Corvallis, OR 97331-2603, USA;

San Diego State University, USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
financial crises; systemic risk; crash; fragility;

机译：金融危机;系统性风险;崩溃脆弱性;

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Market fragility and international market crashes

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