Analyzing the contribution of ASEAN stock markets to systemic risk
© Springer International Publishing AG 2017. In this paper, seven stock markets from six countries (Thailand, Malaysia, Indonesia, Vietnam, the Philippines, and Singapore) and their risk contribution to ASEAN stock system are investigated using the Component Expected Shortfall approach. Prior to com...
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th-cmuir.6653943832-407682017-09-28T04:11:19Z Analyzing the contribution of ASEAN stock markets to systemic risk Tansuchat R. Yamaka W. Khemawani K. Sriboonchitta S. © Springer International Publishing AG 2017. In this paper, seven stock markets from six countries (Thailand, Malaysia, Indonesia, Vietnam, the Philippines, and Singapore) and their risk contribution to ASEAN stock system are investigated using the Component Expected Shortfall approach. Prior to computing this systemic risk measure, we need to compute a dynamic correlation, thus the study proposes a Markov Switching copula with time varying parameter to measure the dynamic correlation between each pair of stock market index and ASEAN stock system. The empirical results show that Philippines stock index contributed the highest risk to the ASEAN stock system. 2017-09-28T04:11:19Z 2017-09-28T04:11:19Z Book Series 1860949X 2-s2.0-85012868270 10.1007/978-3-319-50742-2_40 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012868270&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40768 |
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© Springer International Publishing AG 2017. In this paper, seven stock markets from six countries (Thailand, Malaysia, Indonesia, Vietnam, the Philippines, and Singapore) and their risk contribution to ASEAN stock system are investigated using the Component Expected Shortfall approach. Prior to computing this systemic risk measure, we need to compute a dynamic correlation, thus the study proposes a Markov Switching copula with time varying parameter to measure the dynamic correlation between each pair of stock market index and ASEAN stock system. The empirical results show that Philippines stock index contributed the highest risk to the ASEAN stock system. |
| format |
Book Series |
| author |
Tansuchat R. Yamaka W. Khemawani K. Sriboonchitta S. |
| spellingShingle |
Tansuchat R. Yamaka W. Khemawani K. Sriboonchitta S. Analyzing the contribution of ASEAN stock markets to systemic risk |
| author_facet |
Tansuchat R. Yamaka W. Khemawani K. Sriboonchitta S. |
| author_sort |
Tansuchat R. |
| title |
Analyzing the contribution of ASEAN stock markets to systemic risk |
| title_short |
Analyzing the contribution of ASEAN stock markets to systemic risk |
| title_full |
Analyzing the contribution of ASEAN stock markets to systemic risk |
| title_fullStr |
Analyzing the contribution of ASEAN stock markets to systemic risk |
| title_full_unstemmed |
Analyzing the contribution of ASEAN stock markets to systemic risk |
| title_sort |
analyzing the contribution of asean stock markets to systemic risk |
| publishDate |
2017 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012868270&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40768 |
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