Market fragility and international market crashes

Citeable URL: https://ir.library.oregonstate.edu/concern/articles/nv935350d

Descriptions

Attribute Name	Values
Creator	Berger, Dave 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 indicate the probability of a global crash is greater than the probability of a local crash. That is, conditional on high levels of systemic risk, the probability of a severe
Resource Type	Article
DOI	https://doi.org/10.1016/j.jfineco.2012.03.009
Date Available	2012-04-05T19:35:30+00:00
Date Issued	2012-04-05
Citation	Berger, D., & Pukthuanthong, K. (2012, April 5). Market fragility and international market crashes. Journal of Financial Economics. doi:10.1016/j.jfineco.2012.03.009
Journal Title	Journal of Financial Economics
Journal Volume	105
Journal Issue/Number	3
Academic Affiliation	College of Business
Dichiarazione dei diritti	In Copyright
Publisher	Elsevier
Peer Reviewed	Yes
Language	English [eng]
Replaces	http://hdl.handle.net/1957/28589