危机时期世界市场间传染风险的动态变化:金融网络视角

IF 2.5 Q2 ECONOMICS
Karim Belcaid, Sara El Aoufi, Mamdouh Abdulaziz Saleh Al-Faryan
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引用次数: 0

摘要

本研究采用时变参数 VAR 方法分析危机期间全球股市和 WTI 原油之间的传染风险。所研究的市场包括美国、欧元区、英国、中国、日本、印度、俄罗斯以及部分中东和北非股市。研究强调了动态指标在评估金融网络和危机蔓延风险方面的重要性,而这一领域在以往的研究中受到的关注有限。研究证据表明,封锁措施、COVID-19 的扩散以及俄乌战争导致了快速、动态的金融传染。美国和欧洲主要市场被认为是全球净贡献者,而中国和中东及北非股票市场则是净接受者。此外,石油冲击的源头更可能是俄罗斯和沙特市场。这项研究对政策制定者和投资者具有政策影响,强调了冲击和传染效应在投资组合多样化和风险对冲中的重要性,尤其是在危机时期。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective

This study used a Time-Varying Parameter VAR approach to analyze contagion risk among global stock markets and WTI crude oil during times of crisis. The examined markets included the United States, the Eurozone, the United Kingdom, China, Japan, India, Russia, and select MENA stock markets. The research highlighted the importance of dynamic metrics in assessing financial networks and crisis contagion risk, an area that has received limited attention in previous studies. The evidence demonstrates rapid and dynamic financial contagion resulting from lockdown measures, the spread of COVID-19, and the Russia–Ukraine war. The U.S. and major European markets were identified as net global contributors, while Chinese and MENA equity markets acted as net receivers. Furthermore, the origin of oil shocks was more likely attributed to Russian and Saudi markets. This research carries policy implications for policymakers and investors, emphasizing the importance of shock and contagion effects in portfolio diversification and risk hedging, particularly during times of crisis.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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