Stock Market Synchronization: The Role of Geopolitical Risk
نویسندگان
چکیده
Given the importance of stock market synchronization for international portfolio diversification, we estimate degrees co-movements among US, Chinese and Russian markets. By applying TVP-VAR approach, measure total bivariate indices utilizing daily data from 1998 to 2021. Our analysis demonstrates that connectedness index (TCI) is 26.15% three We find US highest volatility contributor, whereas receiver. Since exposed geopolitical risk, at second stage, apply Quantile-on-Quantile framework response bilateral risk (GPR). The findings affirm our proposition GPR impedes TCI when it has a bullish state higher quantile GPR. negative towards concerning US–China US–Russian pairs. However, degree between markets less responsive
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”
abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...
15 صفحه اولSynchronization model for stock market asymmetry
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up–down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occasionally synchronize their short term draw-downs. These synchronous events are...
متن کاملExplaining the geopolitical role of the city
In today's world, the process of globalization and communication and information innovations has brought the "cities" into an actor of national and global competition. No urban point in the world can rely on maintaining its traditional role in the urban hierarchy, as other urban areas compete in a network structure with other cities in order to enhance their position on the network and overcom...
متن کاملThe Consumption Risk of the Stock Market∗
This paper evaluates whether the medium-term risk of the stock market is sufficient to explain its high average rate of return relative to a risk-free investment. The medium-term risk of stocks is measured by the covariance of a market return over a quarter and consumption growth over horizons of one to three years. The medium-term risk of equity in aggregate consumption data is an order of mag...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2022
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm15050204