The Leaders, the Laggers, and the “Vulnerables”

Veni Arakelian and Shatha Qamhieh Hashem
Additional contact information
Veni Arakelian: Department of Economic and Regional Development, Panteion University, Syggrou Avenue 136, 176 71 Athens, Greece
Shatha Qamhieh Hashem: Department of Finance, An-Najah National University, Nablus, P.O. Box: 7, Palestine

Risks, 2020, vol. 8, issue 1, 1-32

Abstract: We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices. We focus on the 10% of stocks that “survived” all the rebalancings by remaining constituents of the indices. We sort them according to their systemic importance using the marginal expected shortfall (MES), which measures the individual institutions’ vulnerability over the market, the network based MES, which captures the vulnerability of the risks generated by institutions’ interrelations, and the Bayesian network based MES, which takes into account different network structures among institutions’ interrelations. We also check if the lead-lag effect holds in terms of systemic risk implying systemic risk transmission from the large to the small capitalization, concluding a mixed behavior compared to the index returns. Additionally, we find that all the systemic risk indicators increase their magnitude during the financial crisis.

Keywords: financial networks; lead-lag effect; systemic risk; VAR (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-9091/8/1/26/pdf (application/pdf)
https://www.mdpi.com/2227-9091/8/1/26/ (text/html)

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:gam:jrisks:v:8:y:2020:i:1:p:26-:d:331532

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().