Risk Synchronization in International Stock Markets

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 ef...

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Bibliographic Details
Published inGlobal economic review Vol. 47; no. 2; pp. 135 - 150
Main Authors Chuliá, Helena, Pinchao, Andrés D., Uribe, Jorge M.
Format Journal Article
LanguageEnglish
Published Abingdon Taylor & Francis Ltd 01.01.2018
Taylor and Francis
동서문제연구원
Subjects
Borsa de valors
Correlació (Estadística)
Correlation (Statistics)
Economic crisis
Financial market
Indexes
Mercat financer
Risc (Economia)
Risk
Securities markets
Sincronització
Stock exchanges
Stock-exchange
Synchronization
경제학
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Summary: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.
ISSN:1226-508X
1744-3873
DOI:10.1080/1226508X.2017.1407952