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Market fragility and international market crashes

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dc.creator Berger, Dave
dc.creator Pukthuanthong, Kuntara
dc.date.accessioned 2012-04-05T19:35:30Z
dc.date.available 2012-04-05T19:35:30Z
dc.date.issued 2012-04-05
dc.identifier.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 en_US
dc.identifier.uri http://hdl.handle.net/1957/28589
dc.description.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 en_US
dc.language.iso en_US en_US
dc.publisher Elsevier en_US
dc.relation.ispartofseries Journal of Financial Economics en_US
dc.subject Financial crises en_US
dc.subject Systemic risk en_US
dc.subject Crash en_US
dc.subject Fragility en_US
dc.title Market fragility and international market crashes en_US
dc.type Article en_US
dc.identifier.doi 10.1016/j.jfineco.2012.03.009,

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