Market fragility and international market crashes Public Deposited

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  • 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
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  • 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
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  • description.provenance : Made available in DSpace on 2012-04-05T19:35:30Z (GMT). No. of bitstreams: 1 Market FragilityandInternationalMarket Crashes- 3-7-12[3].pdf: 293651 bytes, checksum: 80cd1a1138dc7ae265c7fe38bc394ae5 (MD5) Previous issue date: 2012-04-05
  • description.provenance : Submitted by Sue Kunda (sue.kunda@oregonstate.edu) on 2012-04-05T19:34:59Z No. of bitstreams: 1 Market FragilityandInternationalMarket Crashes- 3-7-12[3].pdf: 293651 bytes, checksum: 80cd1a1138dc7ae265c7fe38bc394ae5 (MD5)
  • description.provenance : Approved for entry into archive by Sue Kunda(sue.kunda@oregonstate.edu) on 2012-04-05T19:35:30Z (GMT) No. of bitstreams: 1 Market FragilityandInternationalMarket Crashes- 3-7-12[3].pdf: 293651 bytes, checksum: 80cd1a1138dc7ae265c7fe38bc394ae5 (MD5)

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