Econometric Evaluation of Risk at the Shanghai Stock Exchange

• Autorzy: Magdalena Osińska , Marcin Fałdziński , Tomasz Zdanowicz

Warianty tytułu

Ekonometryczna ocena ryzyka na giełdzie papierów wartościowych w Szanghaju

• Języki publikacji: EN

Abstrakty

EN

The problem of risk transferring is well known in empirical finance. Agents often try to transmit their risk from one market to another when the limit values of their potential losses are being approached or exceeded. When financial markets are completely segmented, risk cannot be transmitted across markets, but on the other hand when markets are integrated and suffer from the same shock, then risk is expected to transmit across markets. Chinese financial market was segmented during Asian crisis 1997-1998 (Lardy (1998)), but during last financial crisis was more vulnerable to risk spillover. The aim of the paper is to analyze the segmentation of the Chinese financial market. We took into account the process of transferring risk between major indices of Shanghai Stock Exchange and sector indices (sub-indices) representing various segments of the market. To check proposed hypotheses we applied Granger causality in risk concept. We applied different risk measures to take into consideration different risk patterns (small, medium and high risk generated locally and/or globally). (original abstract)

Rynek kapitałowy w Chinach przez wiele lat nie był włączony do globalnego rynku finansowego. Dlatego tez cechowały go wyższe wartości średnie zwrotów i mniejsze ryzyko. Dopiero kryzys finansowy z roku 2007-2009 spowodował większe zainteresowanie chińskim rynkiem kapitałowym a w konsekwencji wzrost ryzyka. Celem artykułu jest analiza procesów zachodzących wewnątrz rynku, ze szczególnym uwzględnieniem relacji między indeksami głównymi giełdy w Szanghaju a subindeksami reprezentującymi różne segmenty rynku. Zastosowana metodologia obejmuje: modele zmienności, analizę przyczynowości w ryzyku oraz teorie wartości ekstremalnych. (abstrakt oryginalny)

Słowa kluczowe

EN

Risk assessment; Stock market; Econometrics

PL

Ocena ryzyka; Giełda papierów wartościowych; Ekonometria

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2013
• Tom: 292 Spatial Econometrics and Regional Economics Analysis
• Strony: 61--76

Twórcy

autor

Magdalena Osińska

• Nicolaus Copernicus University in Toruń, Poland

autor

Marcin Fałdziński

• Nicolaus Copernicus University in Toruń, Poland

autor

Tomasz Zdanowicz

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

• Artzner P., Delbaen F., Eber J. M., Heath D., (1997), Thinking Coherently, Risk 10, pp. 68-71.
• Cheung Y.W., Ng L.K., (1996), A causality in variance test and its application to financial market prices, Journal of Econometrics, 72, pp. 33-48.
• Dowd K., (2005), Measuring Market Risk Second Edition, John Wiley & Sons Ltd., New York.
• Dowd K., Cotter J., (2006), Extreme spectral risk measures: an application to futures clearinghouse margin requirements, Journal of Banking & Finance 30, pp. 3469-3485.
• Embrechts P., Kluppelberg C, Mikosch T., (2003), Modelling Extremal Events for Insurance and Finance, Springer, Berlin.
• Fałdziński M., (2011), On The Empirical Importance Of The Spectral Risk Measure With Extreme Value Theory Approach, Financial Markets Principles of Modelling Forecasting and Decision-Making, FindEcon, Łódź.
• Fałdziński M., Osińska M., Zdanowicz T. (2012), Detecting Risk Transfer in Financial Markets using Different Risk Measures. Central European Journal of Economic Modelling and Econometrics (CEJEME) 1 (4) 2012, pp. 45-64.
• Granger C. W. J., (1969), Investigating causal relations by econometric models and cross-spectral methods, Econometrica 37(3), pp. 424-438.
• Harmantzis F.C., Miao L., Chien Y., (2006), Empirical Study of Value at risk and Expected Shortfall Models with Heavy Tails, Journal of Risk Finance 7, No. 2, pp. 117-126.
• Hong Y., (2001), A test for volatility spillover with applications to exchange rates, Journal of Econometrics 103 (1-2), pp. 183-224.
• Hong Y., Liu Y., Wang S., (2009), Granger causality in risk and detection of extreme risk spillover between financial markets, Journal of Econometrics 150(2), pp. 271-287.
• Kuester K., Mittnik S., Paolella M.S., (2006), Value at Risk Prediction: A Comparison of Alternative Strategies, Journal of Financial Econometrics 1, pp. 53-89.
• Lardy, N. (1998), China and the Asian Contagion, Foreign Affairs 77, pp. 78-88.
• McNeil J.A., Frey F., (2000), Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value Approach, Journal of Empirical Finance 7, pp. 271-300.
• Miranda M.J., Fackler P.L., (2002), Applied Computational Economics and Finance, MIT Press, Cambridge, MA and London.
• Neftci S. N., Menager-Xu M.Y., (2006), China 's Financial Markets, Elsevier Academic Press.
• Osińska M, (2011), On the Interpretation of Causality in Granger's Sense, Dynamic Econometric Models, vol.11, pp. 129-139.
• Toda H.Y., Yamamoto T., (1995), Statistical inferences in vector autoregressions with possibly integrated processes, Journal of Econometrics, 66, pp. 225-50.