Identification of global systemically important stock exchanges

Renata Karkowska and Igor Kravchuk

Equilibrium. Quarterly Journal of Economics and Economic Policy, 2019, vol. 14, issue 1, 31-51

Abstract: Research background: Increased regulations reducing systemic risk are essentially underpinned by the understanding of the global nature and sources of instability of the financial system. In the economic literature, there are many arguments presented by critical supporters and opponents of measuring and reporting global systemically important entities. Purpose of the article: In response to the requirements of regulators, the article seeks to identify systematically important regulated stock markets for selected global stock exchanges by developing a composite ratio. Additionally, it provides empirical evidence concerning their risk exploration. Methods: The proposed method uses weighted average values of indicators grouped in four categories: (1) market size, (2) cross-jurisdictional activity and interconnectedness, (3) substitutability, (4) complexity. The research covers stock exchanges, reported to WFE, spanning the period 2008–2017. Findings & Value added: The study finds that the problem of systemic risk on global stock exchanges is growing despite numerous prudential regulations. In order to obtain a more complete assessment of market systemic sensitivity, regulators should take into account a wider range of indicators and calculations such as cross-jurisdictional activity and market complexity.

Keywords: capital market; systemic risk; stock exchange; macroprudential policy; financial stability (search for similar items in EconPapers)
JEL-codes: E30 E44 G01 G15 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.24136/eq.2019.002 (application/pdf)

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:pes:ierequ:v:14:y:2019:i:1:p:31-51

Access Statistics for this article

Equilibrium. Quarterly Journal of Economics and Economic Policy is currently edited by Adam P. Balcerzak

More articles in Equilibrium. Quarterly Journal of Economics and Economic Policy from Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Adam P. Balcerzak ( this e-mail address is bad, please contact ).