Title: Financial Market Stability - A Test
Authors: BAUR DirkSCHULZE Niels
Citation: Journal of International Financial Markets, Institutions and Money vol. 19 no. 3 p. 506-519
Publisher: Elsevier
Publication Year: 2009
JRC Publication N°: JRC47548
ISSN: 1042-4431
URI: http:///dx.doi.org/10.1016/j.intfin.2008.06.003
http://publications.jrc.ec.europa.eu/repository/handle/JRC47548
DOI: 10.1016/j.intfin.2008.06.003
Type: Articles in Journals
Abstract: This paper proposes a definition for financial market stability and an econometric test. It analyzes the impact of systematic and systemic shocks on developed and emerging market stock indices in normal and extreme market conditions. Financial market stability is defined as a constant impact of systematic shocks in normal and extreme market situations. Empirical results show that the impact of systematic shocks is significantly larger in extreme market conditions than in normal conditions for emerging markets. In contrast, the relationship is stable for developed markets. Hence, only developed markets meet an essential condition for financial market stability.
JRC Institute:Institute for the Protection and Security of the Citizen

Files in This Item:
There are no files associated with this item.


Items in repository are protected by copyright, with all rights reserved, unless otherwise indicated.