The Leaders, the Laggers, and the “Vulnerables”

The Leaders, the Laggers, and the “Vulnerables”

We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices. We focus on the 10% of stocks that “survived” all the rebalancings by remaining constituents of the indices. We sort them acc...

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Bibliographic Details
Main Authors: Veni Arakelian, Shatha Qamhieh Hashem
Format: Article
Language:English
Published: MDPI AG 2020-03-01
Series:Risks
Subjects:
financial networks
lead-lag effect
systemic risk
var
Online Access:https://www.mdpi.com/2227-9091/8/1/26
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spelling doaj-c630c289977b4ef6a1f2a18e0c759cf22020-11-25T01:37:45ZengMDPI AGRisks2227-90912020-03-01812610.3390/risks8010026risks8010026The Leaders, the Laggers, and the “Vulnerables”Veni Arakelian0Shatha Qamhieh Hashem1Department of Economic and Regional Development, Panteion University, Syggrou Avenue 136, 176 71 Athens, GreeceDepartment of Finance, An-Najah National University, Nablus, P.O. Box: 7, PalestineWe examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices. We focus on the 10% of stocks that “survived” all the rebalancings by remaining constituents of the indices. We sort them according to their systemic importance using the marginal expected shortfall (MES), which measures the individual institutions’ vulnerability over the market, the network based MES, which captures the vulnerability of the risks generated by institutions’ interrelations, and the Bayesian network based MES, which takes into account different network structures among institutions’ interrelations. We also check if the lead-lag effect holds in terms of systemic risk implying systemic risk transmission from the large to the small capitalization, concluding a mixed behavior compared to the index returns. Additionally, we find that all the systemic risk indicators increase their magnitude during the financial crisis.https://www.mdpi.com/2227-9091/8/1/26financial networkslead-lag effectsystemic riskvar
collection DOAJ
language English
format Article
sources DOAJ
author Veni Arakelian
Shatha Qamhieh Hashem
spellingShingle Veni Arakelian
Shatha Qamhieh Hashem
The Leaders, the Laggers, and the “Vulnerables”
Risks
financial networks
lead-lag effect
systemic risk
var
author_facet Veni Arakelian
Shatha Qamhieh Hashem
author_sort Veni Arakelian
title The Leaders, the Laggers, and the “Vulnerables”
title_short The Leaders, the Laggers, and the “Vulnerables”
title_full The Leaders, the Laggers, and the “Vulnerables”
title_fullStr The Leaders, the Laggers, and the “Vulnerables”
title_full_unstemmed The Leaders, the Laggers, and the “Vulnerables”
title_sort leaders, the laggers, and the “vulnerables”
publisher MDPI AG
series Risks
issn 2227-9091
publishDate 2020-03-01
description We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices. We focus on the 10% of stocks that “survived” all the rebalancings by remaining constituents of the indices. We sort them according to their systemic importance using the marginal expected shortfall (MES), which measures the individual institutions’ vulnerability over the market, the network based MES, which captures the vulnerability of the risks generated by institutions’ interrelations, and the Bayesian network based MES, which takes into account different network structures among institutions’ interrelations. We also check if the lead-lag effect holds in terms of systemic risk implying systemic risk transmission from the large to the small capitalization, concluding a mixed behavior compared to the index returns. Additionally, we find that all the systemic risk indicators increase their magnitude during the financial crisis.
topic financial networks
lead-lag effect
systemic risk
var
url https://www.mdpi.com/2227-9091/8/1/26
work_keys_str_mv AT veniarakelian theleadersthelaggersandthevulnerables
AT shathaqamhiehhashem theleadersthelaggersandthevulnerables
AT veniarakelian leadersthelaggersandthevulnerables
AT shathaqamhiehhashem leadersthelaggersandthevulnerables
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