dc.contributor.author
Chuliá Soler, Helena
dc.contributor.author
Pinchao, Andrés D.
dc.contributor.author
Uribe Gil, Jorge Mario
dc.date.issued
2018-05-08T12:42:46Z
dc.date.issued
2019-07-01T05:10:14Z
dc.date.issued
2018-05-08T12:42:46Z
dc.identifier
https://hdl.handle.net/2445/122206
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
application/pdf
dc.publisher
Taylor and Francis
dc.relation
Versió postprint del document publicat a: https://doi.org/10.1080/1226508X.2017.1407952
dc.relation
Global Economic Review, 2018, vol. 47, num. 2, p. 135-150
dc.relation
https://doi.org/10.1080/1226508X.2017.1407952
dc.rights
(c) Taylor and Francis, 2018
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject
Risc (Economia)
dc.subject
Sincronització
dc.subject
Borsa de valors
dc.subject
Mercat financer
dc.subject
Correlació (Estadística)
dc.subject
Synchronization
dc.subject
Stock-exchange
dc.subject
Financial market
dc.subject
Correlation (Statistics)
dc.title
Risk Synchronization in International Stock Markets
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/acceptedVersion
