Non-Normal Market Losses and Spatial Dependence Using Uncertainty Indices

We analyse spatial dependence between the risks of stock markets. An alternative definition neighbour is used and based on a proposed exogenous criterion obtained with dynamic Google Trends Uncertainty Index (GTUI) designed specifically for this analysis. show impact systemic risk related to most significant financial crises from 2005: Lehman Brothers bankruptcy, sub-prime mortgage crisis, European debt Brexit COVID-19 pandemic, which also affected The are measured using monthly variance or volatility Value-at-Risk (VaR) filtered losses associated analysed indices. Given that measures follow non-normal distributions number neighbours changes over time, we carry out simulation study check how these characteristics affect results global local inference Moran’s I statistic. Lastly, 46 markets 10 benchmark worldwide.