Interconnectedness and systemic risk: Evidence from global stock markets

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dc.authoridKılıç, Yunus/0000-0002-9758-5118en_US
dc.authorscopusid26653963900en_US
dc.authorscopusid58907715200en_US
dc.authorscopusid57311831000en_US
dc.authorscopusid57197830031en_US
dc.authorscopusid8873464300en_US
dc.authorwosidKılıç, Yunus/AAD-2513-2019en_US
dc.contributor.authorCevik, Emrah Ismail
dc.contributor.authorTerzioglu, Hande Caliskan
dc.contributor.authorKilic, Yunus
dc.contributor.authorBugan, Mehmet Fatih
dc.contributor.authorDibooglu, Sel
dc.date.accessioned2024-08-23T16:04:34Z
dc.date.available2024-08-23T16:04:34Z
dc.date.issued2024en_US
dc.departmentDüzce Üniversitesien_US
dc.description.abstractThe study aims to examine systemically important stock markets in the global financial system within the scope of portfolio theory. For this purpose, we use daily stock market indices from 46 countries (23 developed and 23 developing stock markets) in North America, Latin America, the Middle East and Africa, Asia, the Pacific, Eastern Europe, and Europe between 1995 and 2021. Based on the Component Expected Shortfall (CES), we identify systemically important stock markets and use the quantile spillover analysis to examine the financial contagion and directional spillovers emanating from downside risks among stock markets. Overall, we observe stock markets of developed countries figured prominently in terms of systemic risk until the Global Financial Crisis (2007-2009; henceforth GFC), while developing country stock markets particularly those of China and India gained traction after the GFC. Moreover, we observe a shift in terms of systemic risk in recent years from the West to the East geographically. To increase global financial market resilience and improve stability, supervision, and macroprudential policies can be formulated to limit risk spillovers in global stock markets. Additionally, it is critical to diversify investments outside equity markets, such as currency, bond, gold, and oil asset classes. When considering overseas portfolio choices for diversity, investors should keep the financial spillover effects in mind.en_US
dc.identifier.doi10.1016/j.ribaf.2024.102282
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopus2-s2.0-85186073296en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2024.102282
dc.identifier.urihttps://hdl.handle.net/20.500.12684/14269
dc.identifier.volume69en_US
dc.identifier.wosWOS:001196580500001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofResearch in International Business And Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFinancial contagionen_US
dc.subjectSystemic risken_US
dc.subjectComponent expected shortfallen_US
dc.subjectPortfolio diversificationen_US
dc.subjectFinancial stabilityen_US
dc.subjectDynamic Conditional Correlationen_US
dc.subjectImpulse-Response Analysisen_US
dc.subjectFinancial Contagionen_US
dc.subjectCapital Shortfallen_US
dc.subjectBanking Sectoren_US
dc.subjectVolatilityen_US
dc.subjectCopulaen_US
dc.subjectConsolidationen_US
dc.subjectConnectednessen_US
dc.subjectSpilloversen_US
dc.titleInterconnectedness and systemic risk: Evidence from global stock marketsen_US
dc.typeArticleen_US

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