...Sirine Ben Yaala; Jamel Eddine Henchiri Purpose This study investigates the correlation structure, systemic risk, and sectoral interdependencies in the Tunisian stock market during the pre-COVID-19, COVID-19, and post-COVID-19 periods using Random Matrix Theory (RMT) and spectral analysis...

...Panagiotis Tzouvanas Purpose This paper sheds light on the impact of market risk measures on systemic risk. Market risk, which is captured by the volatility of stock market returns, is also decomposed into systematic and idiosyncratic risks. Design/methodology/approach The author uses the five...

... period, where seemingly safe assets were overpriced, can be explained by agents overweighing idiosyncratic risk and ignoring systemic risk. Systemic risk Salience bias Price volatility Financial crisis Fragility D90 G01 G11 G12 G40 The phenomenon of first ignoring one type...

... of the derivatives market which in the future, if monitored by national regulatory authorities, may lower the influence of speculative derivatives trading. Thomas Theobald can be contacted at: Thomas-Theobald@boeckler.de © Emerald Group Publishing Limited 2015 Financial crisis Systemic risk...