مقاله انگلیسی رایگان در مورد تجزیه و تحلیل ریسک اصولی بازارهای سهام اسلامی – الزویر ۲۰۱۸

elsevier

 

مشخصات مقاله
ترجمه عنوان مقاله تجزیه و تحلیل ریسک اصولی بازارهای سهام اسلامی با استفاده از مدل واین کاپیولا و مدل سازی دلتا کوار
عنوان انگلیسی مقاله A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
انتشار مقاله سال ۲۰۱۸
تعداد صفحات مقاله انگلیسی  ۴۷ صفحه
هزینه دانلود مقاله انگلیسی رایگان میباشد.
پایگاه داده نشریه الزویر
نوع نگارش مقاله
مقاله پژوهشی (Research article)
مقاله بیس این مقاله بیس میباشد
نمایه (index) scopus – master journals – JCR
نوع مقاله ISI
فرمت مقاله انگلیسی  PDF
ایمپکت فاکتور(IF)
۱٫۷۱۹ در سال ۲۰۱۷
شاخص H_index ۴۲ در سال ۲۰۱۸
شاخص SJR ۰٫۹۸۴ در سال ۲۰۱۸
رشته های مرتبط  اقتصاد – مدیریت
گرایش های مرتبط  اقتصاد پولی – اقتصاد مالی – مدیریت مالی
نوع ارائه مقاله
ژورنال
مجله / کنفرانس مجله بین المللی بازارهای مالی، موسسات و پول – Journal of International Financial Markets, Institutions and Money
دانشگاه Montpellier Business School, 2300 Avenue des Moulins, 34080 Montpellier, France
کلمات کلیدی  ۲۲۲۲۲
کلمات کلیدی انگلیسی Spillovers; Systemic risk; Conditional VaR; Copulas; Tail dependence
شناسه دیجیتال – doi
https://doi.org/10.1016/j.intfin.2018.02.013
کد محصول E11690
وضعیت ترجمه مقاله  ترجمه آماده این مقاله موجود نمیباشد. میتوانید از طریق دکمه پایین سفارش دهید.
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فهرست مطالب مقاله:
Outline
Highlights
Abstract
JEL classifications
Keywords
۱٫ Introduction
۲٫ Methodology
۳٫ Data analysis
۴٫ Empirical results
۵٫ Conclusions
References

بخشی از متن مقاله:

Abstract

We model the downside and upside spillover effects, systemic and tail dependence risks of the DJ World Islamic (DJWI) and DJ World Islamic Financial (DJWIF) indices, and of Islamic equity indices from Japan, USA and the UK. We draw our empirical results and conclusions by implementing a robust modeling framework consisting of Value-at-Risk (VaR), conditional VaR (CoVaR), Delta conditional VaR (ΔCoVaR), canonical vine conditional VaR (c-vine CoVaR), and time-varying and static bivariate and vine copula models. Full sample estimations indicate larger downside spillover effects and systemic risk for the DJ Islamic Financials World and USA Islamic indices, while Islamic indices from Japan and the DJ World financials have greater exposure to upside spillover risk effects. During the financial crisis the USA and UK Islamic indices display higher downside systemic risk; and the strongest negative tail asymmetric dependence occurs between the DJ Islamic Financials World, and the Islamic indices from Japan and the DJ World financials. Implications of the results are discussed.

Introduction

Never before has been more important to understand the spillover effects across financial stock markets given the increasing globalization phenomenon, the continuous integration of economies and financial markets, and the increasing important role that stock markets play in determining the performance of world economies. It was during the recent global financial crisis of 2008-2009 when it became evident that portfolio losses are largely influenced by the inability of individual and institutional investors to deal on a timely manner with negative tail co-movements, spillover effects and the systemic risk stemming from the instability of toobig-to-fail financial institutions. Since then, an increasing trend of financial modeling has attempted to better understand and trace the underlying linkages connecting financial markets across countries. Financial regulators in particular, given the size of international Islamic equity markets which has reached trillions in asset value, have began to consider the potential risk effects extreme negative tail movements and co-movements in some countries’ Islamic equity markets could exert on Islamic (and conventional) equity markets from other parts of the world. All this in the light of the objectives targeted by the Basel III standards, which have highlighted the importance of maintaining the stability of the financial system and of strengthening its resilience (BCBS, 2011). It is under these circumstances where the problem of accurately and adequately estimating the extent to which some aggregate and representative global financial equity markets influence the performance of other financial equity markets scattered across regions of the world becomes relevant and is worth investigating.

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