The tail risk of emerging stock markets

Xiao-Ming Li and Lawrence Rose

Emerging Markets Review, 2009, vol. 10, issue 4, 242-256

Abstract: We investigate tail risk in emerging stock markets at the country, regional and world levels, by comparing the investable and non-investable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Employing the skewed Student-t GJR-GARCH model and the SJC copula, we show that most investable portfolios have lower tail risk but higher tail dependence than non-investable ones; emerging markets are likely more dependent on the world market during large joint losses than large joint gains; and tail dependence of the aggregate and investable markets on the world market varies across countries and regions.

Keywords: Emerging; markets; Investable; stocks; Non-investable; stocks; Tail; risk; Tail; dependence (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:10:y:2009:i:4:p:242-256

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