Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

Contagion and tail risk in complex financial networks

Abduraimova, Kumushoy (2022) 'Contagion and tail risk in complex financial networks.', Journal of Banking & Finance, 143 . p. 106560.

Abstract

New contagion measures based on theories of copula, heavy-tailed distributions and networks are introduced. The measures are applied to study international stock markets contagion during the Global Financial Crisis 2008. Having declined post-crisis, the contagion risk remains above its pre-crisis level for both advanced and emerging economies. A sub-network analysis of contagion shows that the shock propagated mainly from core to periphery during the crisis. We propose an instrumental variable regression approach to deal with a potential endogeneity problem in the analysis of the contagion measures as determinants of tail risk. Endogeneity might arise as both contagion measures and tail indices are themselves estimated. The obtained results are statistically significant and suggest that more contagion-central countries tend to be less prone to tail risk.

Item Type:Article
Full text:(VoR) Version of Record
Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0.
Download PDF
(1671Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1016/j.jbankfin.2022.106560
Publisher statement:This article is available under the Creative Commons CC-BY-NC-ND license and permits non-commercial use of the work as published, without adaptation or alteration provided the work is fully attributed.
Date accepted:28 May 2022
Date deposited:24 June 2022
Date of first online publication:10 June 2022
Date first made open access:24 June 2022

Save or Share this output

Export:
Export
Look up in GoogleScholar