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The tail risk of emerging stock markets

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

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S1566-0141(09)00039-9
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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 10 (2009)
Issue (Month): 4 (December)
Pages: 242-256

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Handle: RePEc:eee:ememar:v:10:y:2009:i:4:p:242-256
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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