...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. There is a vast literature based on the different types of explanations as to the market turmoil observed during the global financial crisis. The contributions...

.... Thomas Theobald can be contacted at: Thomas-Theobald@boeckler.de © Emerald Group Publishing Limited 2015 Financial crisis Systemic risk Behavioral finance Agent-based model In the aftermath of the financial crisis there was a broad social consensus on the need to improve financial...