Financial market stability—A test |
| |
| Authors: | Dirk G Baur Niels Schulze |
| |
| Institution: | 1. Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092, Tunis Cedex, Tunisia;2. Lebow College of Business, Drexel University, Philadelphia, PA 19104-2875, United States;3. Universidade de Santiago de Compostela, Departamento de Fundamentos del Análisis Económico, Avda. Xoán XXIII, s/n, 15782 Santiago de Compostela, Spain;4. IPAG Lab, IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France |
| |
| 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. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
