Risk Generating Industries for European Stock Markets
Radu Lupu () and
Adrian Cantemir Calin
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2017, vol. 51, issue 4, 5-17
The analysis of contagion received a substantioanl dose of academic attention. This paper aims to determine the potential contagion effects for a large set of financial assets. We employ 5-minute closing prices for the companies included in STOXX600 and build a methdological framework that allows the computation of simple differences between the Cornish-Fisher VaR and the standard normal distribution VaR dynamics. These differences account for the amount of risk that is generated by the non-normality of the distribution of log-returns, more precisely the part that is spurred by the skewness and kurtosis indicators. These measures are synthesized at industry level and submitted to a causality analysis. Our approach allows us to pinpoint possible inter-industry spillover effects and we find the industries that have the propensity to inject risk in the system via a Granger-causality test.
Keywords: contagion; systemic risk; Cornish-Fisher expansion; European Stock Markets. (search for similar items in EconPapers)
JEL-codes: G15 G31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cys:ecocyb:v:50:y:2017:i:4:p:5-17
Access Statistics for this article
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH is currently edited by Gheorghe RUXANDA
More articles in ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH from Faculty of Economic Cybernetics, Statistics and Informatics Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ().