Search Constraints

Start Over
Filtering by: Creator Pukthuanthong, Kuntara Remove constraint Creator: Pukthuanthong, Kuntara Academic Affiliation College of Business Remove constraint Academic Affiliation: College of Business

Search Results

  • Market fragility and international market crashes

    Creator:
    Berger, Dave and Pukthuanthong, Kuntara
    Abstract:
    We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following increases of our risk measure. High levels of our risk measure...
    Resource Type:
    Article
    Full Text:
    Kuntara Pukthuanthong (San Diego State University) Abstract We extend the Pukthuanthong and Roll