TY - JOUR
T1 - Market fragility and international market crashes
JF - Journal of Financial Economics
Y1 - 2012
A1 - Berger,Dave
A1 - Pukthuanthong,Kuntara
KW - Finance
KW - MBA
AB - 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 local crash. That is, conditional on high levels of systemic risk, the probability of a severe crash across multiple markets is larger than the probability of a crash within a smaller number of markets.
VL - 105
CP - 3
U2 - a
U4 - 33748656129
ID - 33748656129
ER -