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Risk Generating Industries for European Stock Markets

Author

Listed:
  • Lucian Liviu ALBU

    (Institute for Economic Forecasting Romanian Academy)

  • Radu LUPU

    (Institute for Economic Forecasting Romanian Academy)

  • Adrian Cantemir CALIN

    (Institute for Economic Forecasting Romanian Academy)

Abstract

The analysis of contagion received a substantioanl dose of academic attention. This paper aims to determine the potential contagion effects for a large set of financial assets. We employ 5-minute closing prices for the companies included in STOXX600 and build a methdological framework that allows the computation of simple differences between the Cornish-Fisher VaR and the standard normal distribution VaR dynamics. These differences account for the amount of risk that is generated by the non-normality of the distribution of log-returns, more precisely the part that is spurred by the skewness and kurtosis indicators. These measures are synthesized at industry level and submitted to a causality analysis. Our approach allows us to pinpoint possible inter-industry spillover effects and we find the industries that have the propensity to inject risk in the system via a Granger-causality test.

Suggested Citation

  • Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CALIN, 2017. "Risk Generating Industries for European Stock Markets," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 5-17.
    • Handle: RePEc:cys:ecocyb:v:50:y:2017:i:4:p:5-17
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    References listed on IDEAS

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    Cited by:

    1. Laurentiu Dumitru ANDREI & Petre BREZEANU & Sorin-Marius DINU & Tiberiu DIACONESCU & Constantin ANGHELACHE, 2019. "Correlations and Turbulence of the European Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-100, March.

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    More about this item

    Keywords

    contagion; systemic risk; Cornish-Fisher expansion; European Stock Markets.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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