Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises
Daniel Felix Ahelegbey () and
Paolo Giudici ()
No 188, DEM Working Papers Series from University of Pavia, Department of Economics and Management
We construct a network-based turbulence score that proves useful for analyzing the relationship between financial interconnectedness, and global market risk, and for identifying systemically important markets, with the highest contribution to financial turbulence. We apply our measure to study the integration among the major stock markets over the first two decades of the 21st century, particularly during the tech, sub-prime, and ongoing COVID-19 crises. The result shows that the interconnectedness of the markets amplifies initial global market risks (on average almost four times), to cause financial turbulence. We also found evidence that the United States is central to global market turbulence, followed by Brazil, France, Hong Kong, and Germany.
Keywords: Centrality; COVID-19; Density; Financial Crises; Financial Networks; VAR (search for similar items in EconPapers)
JEL-codes: C11 C15 C51 C52 C55 C58 G01 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pav:demwpp:demwp0188
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