Interconnectedness and systemic risk: Evidence from global stock markets

Basit Öğe Kaydı
dc.authoridKilic, Yunus/0000-0002-9758-5118
dc.contributor.authorCevik, Emrah Ismail
dc.contributor.authorTerzioglu, Hande Caliskan
dc.contributor.authorKilic, Yunus
dc.contributor.authorBugan, Mehmet Fatih
dc.contributor.authorDibooglu, Sel
dc.date.accessioned2024-10-29T17:58:29Z
dc.date.available2024-10-29T17:58:29Z
dc.date.issued2024
dc.departmentTekirdağ Namık Kemal Üniversitesi
dc.description.abstractThe study aims to examine systemically important stock markets in the global financial system within the scope of portfolio theory. For this purpose, we use daily stock market indices from 46 countries (23 developed and 23 developing stock markets) in North America, Latin America, the Middle East and Africa, Asia, the Pacific, Eastern Europe, and Europe between 1995 and 2021. Based on the Component Expected Shortfall (CES), we identify systemically important stock markets and use the quantile spillover analysis to examine the financial contagion and directional spillovers emanating from downside risks among stock markets. Overall, we observe stock markets of developed countries figured prominently in terms of systemic risk until the Global Financial Crisis (2007-2009; henceforth GFC), while developing country stock markets particularly those of China and India gained traction after the GFC. Moreover, we observe a shift in terms of systemic risk in recent years from the West to the East geographically. To increase global financial market resilience and improve stability, supervision, and macroprudential policies can be formulated to limit risk spillovers in global stock markets. Additionally, it is critical to diversify investments outside equity markets, such as currency, bond, gold, and oil asset classes. When considering overseas portfolio choices for diversity, investors should keep the financial spillover effects in mind.
dc.identifier.doi10.1016/j.ribaf.2024.102282
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopus2-s2.0-85186073296
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2024.102282
dc.identifier.urihttps://hdl.handle.net/20.500.11776/14344
dc.identifier.volume69
dc.identifier.wosWOS:001196580500001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofResearch in International Business and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectFinancial contagion
dc.subjectSystemic risk
dc.subjectComponent expected shortfall
dc.subjectPortfolio diversification
dc.subjectFinancial stability
dc.titleInterconnectedness and systemic risk: Evidence from global stock markets
dc.typeArticle

Dosyalar

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu