A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China

被引：1
|
作者：
Di, Junpeng [1 ]
Zhu, Pingfang [1 ]
机构：
[1] Shanghai Acad Social Sci, Shanghai, Peoples R China
来源：
GLOBAL FINANCE JOURNAL | 2015年 / 26卷
基金：
中国国家自然科学基金;
关键词：
Bayesian quantile regression; CVaR-Granger causality test; Extreme risk; Source;
D O I：
10.1016/j.gfj.2015.01.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Risk contagion has attracted increasing research attention in recent years. In this paper, we combined conditional Value at Risk (CVaR), Bayesian quantile regression and Granger causality test to propose a Bayesian CVaR-Granger causality test method, which is an efficient tool in analyzing sources of extreme risks in a financial market. Using this method, we determined the sources of extreme risks in major stock markets in China. (C) 2015 Published by Elsevier Inc.
引用
收藏
页码：18 / 28
页数：11
相关论文
共 50 条
  • [41] Global and Local Sources of Risk in Eastern European Emerging Stock Markets
    Fedorova, Elena
    Vaihekoski, Mika
    FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 2009, 59 (01): : 2 - 19
  • [42] Wild oil prices, but brave stock markets! The case of GCC stock markets
    Bashar Abu Zarour
    Operational Research, 2006, 6 (2) : 145 - 162
  • [43] Nonlinear prediction for financial contagion of stock markets
    Hui, Xiaofeng
    Wang, Rui
    ICIC Express Letters, 2012, 6 (09): : 2231 - 2235
  • [44] Financial liberalisation, stock markets and economic development
    Singh, A
    ECONOMIC JOURNAL, 1997, 107 (442): : 771 - 782
  • [45] Stock returns and volatility in emerging financial markets
    DeSantis, G
    Imrohoroglu, S
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1997, 16 (04) : 561 - 579
  • [46] Financial connectedness of GCC emerging stock markets
    Ngo Thai Hung
    Eurasian Economic Review, 2021, 11 : 753 - 773
  • [47] A stock model with jumps for Itô–Liu financial markets
    Frank Ranganai Matenda
    Eriyoti Chikodza
    Soft Computing, 2019, 23 : 4065 - 4080
  • [48] Modeling the momentum effect in financial stock markets
    Umino K.
    Kikuchi T.
    Kunigami M.
    Yamada T.
    Terano T.
    Transactions of the Japanese Society for Artificial Intelligence, 2018, 33 (04)
  • [49] Financial markets: an approximation to the Lima Stock Exchange
    Villanueva Gonzales, Agustin
    CONTABILIDAD Y NEGOCIOS, 2007, 2 (03) : 23 - 33
  • [50] The Financial Crisis and the Stock Markets of the CEE Countries
    Kizys, Renatas
    Pierdzioch, Christian
    FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 2011, 61 (02): : 153 - 172
12345