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The tail risk of emerging stock markets

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  • Li, Xiao-Ming
  • Rose, Lawrence C.

Abstract

We investigate tail risk in emerging stock markets at the country, regional and world levels, by comparing the investable and non-investable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Employing the skewed Student-t GJR-GARCH model and the SJC copula, we show that most investable portfolios have lower tail risk but higher tail dependence than non-investable ones; emerging markets are likely more dependent on the world market during large joint losses than large joint gains; and tail dependence of the aggregate and investable markets on the world market varies across countries and regions.

Suggested Citation

  • Li, Xiao-Ming & Rose, Lawrence C., 2009. "The tail risk of emerging stock markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 242-256, December.
  • Handle: RePEc:eee:ememar:v:10:y:2009:i:4:p:242-256
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    Cited by:

    1. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Sanctions and the Russian stock market," Research in International Business and Finance, Elsevier, vol. 40(C), pages 150-162.
    2. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, vol. 11(4), pages 301-318, December.
    3. Jose A. Guajardo & Morris A. Cohen & Serguei Netessine, 2016. "Service Competition and Product Quality in the U.S. Automobile Industry," Management Science, INFORMS, vol. 62(7), pages 1860-1877, July.
    4. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2014. "Industry co-movement and cross-listing: Do home country factors matter?," Japan and the World Economy, Elsevier, vol. 32(C), pages 96-110.
    5. Kearney, Colm, 2012. "Emerging markets research: Trends, issues and future directions," Emerging Markets Review, Elsevier, vol. 13(2), pages 159-183.
    6. Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
    7. repec:eee:ememar:v:32:y:2017:i:c:p:200-219 is not listed on IDEAS

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