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Keywords: Systemic risk
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Journal Articles
International Journal of Emerging Markets (2024) 19 (10): 2824–2846.
Published: 02 December 2022
...Hui Hong; Shitong Wu; Chien-Chiang Lee Purpose The purpose of the paper is to assess the systemic risk in the new energy stock markets of China. Design/methodology/approach This paper first uses the VaR method to study individual stock market risks. It then introduces the DCC model to capture...
Includes: Supplementary data
Journal Articles
International Journal of Emerging Markets (2022) 17 (8): 2052–2083.
Published: 22 February 2021
...Trung Hai Le Purpose The authors provide a comprehensive study on systemic risk of the banking sectors in the ASEAN-6 countries. In particular, they investigate the systemic risk dynamics and determinants of 49 listed banks in the region over the 2000–2018 period. Design/methodology/approach...
Journal Articles
International Journal of Emerging Markets (2018) 13 (5): 1395–1416.
Published: 29 November 2018
... of this paper is to estimate the impact of regulatory announcements on systemic risk among the Indian telecom firms. Design/methodology/approach This study employed a two-step methodology to measure the impact of regulatory announcements on systemic risk. In the first step, CAPM along with the Kalman filter...
