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Risk Synchronization in International Stock Markets

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  • Helena Chuliá
  • Andrés D. Pinchao
  • Jorge M. Uribe

Abstract

We explore international risk synchronization in global stock markets over the last two decades. To this end, we construct global indices of risk synchronization based on individual estimations of market risk and their aggregation via spatial correlations. We then use these indices to analyze the effects of several financial crises on market risk synchronization. Our results reveal different risk-profile dynamics for mature and emerging markets. Contrary to general reports, we also find that not all financial crises induce a higher level of synchronization among markets, at least in relative terms. Indeed, some crises had the opposite effect, that is, a decoupling of market risk.

Suggested Citation

  • Helena Chuliá & Andrés D. Pinchao & Jorge M. Uribe, 2018. "Risk Synchronization in International Stock Markets," Global Economic Review, Taylor & Francis Journals, vol. 47(2), pages 135-150, April.
    • Handle: RePEc:taf:glecrv:v:47:y:2018:i:2:p:135-150
    DOI: 10.1080/1226508X.2017.1407952
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    Cited by:

    1. Wei Cui & Insook Cho, 2019. "Household’s Happiness and Financial Market Participation," Global Economic Review, Taylor & Francis Journals, vol. 48(4), pages 396-418, October.

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