Analyzing the contribution of ASEAN stock markets to systemic risk

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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Main Authors: Roengchai Tansuchat, Woraphon Yamaka, Kritsana Khemawani, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Agricultural and Biological Sciences
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012868270&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46695
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Institution: Chiang Mai University
id th-cmuir.6653943832-46695
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spelling th-cmuir.6653943832-466952018-04-25T07:27:51Z Analyzing the contribution of ASEAN stock markets to systemic risk Roengchai Tansuchat Woraphon Yamaka Kritsana Khemawani Songsak Sriboonchitta Agricultural and Biological Sciences © 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. 2018-04-25T06:59:38Z 2018-04-25T06:59:38Z 2017-02-01 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/6653943832/46695
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Agricultural and Biological Sciences
spellingShingle Agricultural and Biological Sciences
Roengchai Tansuchat
Woraphon Yamaka
Kritsana Khemawani
Songsak Sriboonchitta
Analyzing the contribution of ASEAN stock markets to systemic risk
description © 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 Roengchai Tansuchat
Woraphon Yamaka
Kritsana Khemawani
Songsak Sriboonchitta
author_facet Roengchai Tansuchat
Woraphon Yamaka
Kritsana Khemawani
Songsak Sriboonchitta
author_sort Roengchai Tansuchat
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 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012868270&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46695
_version_ 1681422922118332416

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