Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution

Libing Fang, Baizhu Chen, Honghai Yu and Yichuo Qian

Finance Research Letters, 2018, vol. 24, issue C, 137-144

Abstract: The objective of this paper is to evaluate the risk contributions of G7 and BRICS stock markets based on the Asymmetric Dynamic Conditional Correlation (ADCC) Delta Conditional Value at Risk (ΔCoVaR) measurement with skewed-t distribution. Our empirical results reveal that developed markets contribute relatively more to global systemic risk than emerging markets. Notably, among all markets, Brazil is second only to the US for contributing the most risk to the global system during periods of distress. Conversely, Japan contributed the least amount of systemic risk. The results of this study can significantly help the entire community of researchers and security regulators in monitoring systemic risk and promoting financial stability.

Keywords: Systemic risk contribution; Global financial crisis; ADCC; CoVaR (search for similar items in EconPapers)
JEL-codes: C30 C50 G10 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:24:y:2018:i:c:p:137-144

DOI: 10.1016/j.frl.2017.08.002

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