Skewness-based market integration: A systemic risk measure across international equity markets

Zhihong Jian and Xupei Li

International Review of Financial Analysis, 2021, vol. 74, issue C

Abstract: This study develops a novel skewness-based integration measure to assess systemic risk across international equity markets. We exploit skewness to further consider the tail information of return distribution, thereby extend the return-based integration measure of Pukthuanthong and Roll (2009). The empirical results indicate that the skewness-based integration measure is closely correlated with market crashes, Value-at-Risk, and leading indicators of equity markets. Moreover, the skewness-based integration measure improves the information content of systemic risk relative to the return-based integration measure, implying that tail information plays an indispensable role in early warning of systemic risk.

Keywords: Skewness-based integration; Tail information; Systemic risk; International equity markets (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521921000077
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077

DOI: 10.1016/j.irfa.2021.101664

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().