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Systematic extreme potential gain and loss spillover across countries
This paper investigates the existence of systematic extreme risks at a multi-country level that leads to gains and losses spillover. A measure of systematic risk that quantifies both the downside risk and the upside potential in the extreme is introduced. This measure is based on the Conditional-Val...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Palgrave Macmillan UK
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9274645/ http://dx.doi.org/10.1057/s41283-022-00097-8 |
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author | Bouaddi, Mohammed Moutanabbir, Khouzeima |
author_facet | Bouaddi, Mohammed Moutanabbir, Khouzeima |
author_sort | Bouaddi, Mohammed |
collection | PubMed |
description | This paper investigates the existence of systematic extreme risks at a multi-country level that leads to gains and losses spillover. A measure of systematic risk that quantifies both the downside risk and the upside potential in the extreme is introduced. This measure is based on the Conditional-Value-at-Risk (CoVaR) measure and copulas to capture dependencies. Using our approach, we study the contagion effect between different financial markets in the extreme. We show that there is an asymmetric contagion effect from the US stock market to other international markets. The impact is higher when the US market is extremely bear than when it is extremely bull. This paper adds novel findings on the asymmetry between extreme losses and extreme gains and the differences among different countries’ reactions to shocks. |
format | Online Article Text |
id | pubmed-9274645 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Palgrave Macmillan UK |
record_format | MEDLINE/PubMed |
spelling | pubmed-92746452022-07-12 Systematic extreme potential gain and loss spillover across countries Bouaddi, Mohammed Moutanabbir, Khouzeima Risk Manag Original Article This paper investigates the existence of systematic extreme risks at a multi-country level that leads to gains and losses spillover. A measure of systematic risk that quantifies both the downside risk and the upside potential in the extreme is introduced. This measure is based on the Conditional-Value-at-Risk (CoVaR) measure and copulas to capture dependencies. Using our approach, we study the contagion effect between different financial markets in the extreme. We show that there is an asymmetric contagion effect from the US stock market to other international markets. The impact is higher when the US market is extremely bear than when it is extremely bull. This paper adds novel findings on the asymmetry between extreme losses and extreme gains and the differences among different countries’ reactions to shocks. Palgrave Macmillan UK 2022-07-11 2022 /pmc/articles/PMC9274645/ http://dx.doi.org/10.1057/s41283-022-00097-8 Text en © The Author(s), under exclusive licence to Springer Nature Limited 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic. |
spellingShingle | Original Article Bouaddi, Mohammed Moutanabbir, Khouzeima Systematic extreme potential gain and loss spillover across countries |
title | Systematic extreme potential gain and loss spillover across countries |
title_full | Systematic extreme potential gain and loss spillover across countries |
title_fullStr | Systematic extreme potential gain and loss spillover across countries |
title_full_unstemmed | Systematic extreme potential gain and loss spillover across countries |
title_short | Systematic extreme potential gain and loss spillover across countries |
title_sort | systematic extreme potential gain and loss spillover across countries |
topic | Original Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9274645/ http://dx.doi.org/10.1057/s41283-022-00097-8 |
work_keys_str_mv | AT bouaddimohammed systematicextremepotentialgainandlossspilloveracrosscountries AT moutanabbirkhouzeima systematicextremepotentialgainandlossspilloveracrosscountries |