Financial Market Stability: A Quantile Regression Approach

Chirilă, Viorica; Chirilă, Ciprian

doi:10.1016/s2212-5671(15)00056-8

Cited by 7 publications

(5 citation statements)

References 6 publications

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“…[ 37 ] provided a definition for testing the stability of financial markets from the perspective of market returns: financial market stability refers to the fact that systemic shocks have a constant impact under both, normal and extreme market conditions. Scholars find that using quantile regression to measure financial stability is applicable to the definition proposed by Baur [ 38 , 39 ]. Our approach supplements the literature by combining the new event study method with a quantile regression model to measure the impact of Sino-US trade friction on the stability of China's stock market.…”

Section: Introductionmentioning

confidence: 99%

The influence of trade friction on the stability of stock market: Evidence from China

Guo,

Liu,

Tang

2023

Heliyon

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Section: Introductionmentioning

confidence: 99%

The influence of trade friction on the stability of stock market: Evidence from China

Guo,

Liu,

Tang

2023

Heliyon

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“…A new crisis that emerged in 2007-2008 and was continued by a sovereign debt crisis in Europe (2010-2012) has been reflected in blooming literature that addressed new topics of high importance for systemic risk, such as tail risk [8,9], or continued the research lines on liquidity [10][11][12], contagion [13][14][15], or amplification of risks [16,17]. The use of quantile regression [18] and entropy proceeding [19] was implemented to assess systemic risk.…”

Section: Introductionmentioning

confidence: 99%

How Is the ESG Reflected in European Financial Stability?

2022

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Environmental, social, and governance (ESG) factors are increasingly analysed to identify the risks and opportunities in contemporary economies. The banking sector influences the whole economy through the credit channel and balances its stability. The interplay of these elements motivated our main question, whether ESG scores impact European financial stability, measured for the banking sector. To this aim, we employ the cross-quantilogram methodology, which explores dependences at all levels of the distributions of two random variables. To determine the quantile dependence, we resort to methods of measuring systemic risk (Marginal Expected Shortfall—MES, CoVaR, and ΔCoVaR) for all commercial banks listed on European stock exchanges. While our approach provides a dashboard for analysis of the dependence of financial stability on ESG pillars, our findings indicate that such a connection is valid and cannot be identified with standard approaches that explore average distribution levels. We also document the differences in these impacts across the ESG pillars.

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“…The stability of stock market can be defined as the constant (stable) propagation of systematic shocks on a stock market in normal and extreme market conditions [ 73 ]. The definition and work published by the mentioned authors have led to further investigations performed by Ayinde and Yinusa [ 74 ] for African market and Chirila and Chirila [ 75 ] for CEE countries. Linking the concept of financial stability with the behavior of stock markets in terms of the COVID-19 pandemic, we identify the gap in research, related both to sectoral evaluation of the financial stability as well as to evaluation of the markets in CEE countries during the pandemic.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 pandemic and stability of stock market—A sectoral approach

2021

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The COVID-19 pandemic seems to be the most important phenomenon observed from March 2020 in virtually all countries of the world. The necessity to prevent the spread of COVID-19 and keep health care systems efficient resulted in the forced, drastic limitation of economic activity. Many service sectors were hit particularly hard with this but industry and agriculture were also affected. In particular, the pandemic substantially influenced financial markets and we can observe that some markets or instruments vary in stability since they have been affected in the different degree. In the paper, we present the problem of stability of stock markets during the COVID-19 pandemic. Due to the low number of works related to CEE countries during the pandemic, we analyze the Warsaw Stock Exchange, which is one of the most important markets in the CEE. Our main goal was to find how various industries represented by stock market indices have reacted to the COVID-19 shock and consequently which sectors turned out to keep stability and remained resistant to the pandemic. In our investigation, we use two clustering methods: the K-means and the Ward techniques with the criterion of maximizing the silhouette coefficient and six indicators describing stability in terms of profitability, volume, overbought/oversold conditions and volatility. The results of the research present that during the pandemic it was possible to identify 5 clusters of sector indices in the short term and 4 in the medium term. We found that the composition of the clusters is quite stable over time and that none of the obtained clusters can be univocally considered the most or the least stable taking into account all the analyzed indicators. However, we showed that the obtained clusters have different stability origins, i.e. they vary from each other in terms of the investigated indicators of stability.

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Financial Market Stability: A Quantile Regression Approach

Cited by 7 publications

References 6 publications

The influence of trade friction on the stability of stock market: Evidence from China

The influence of trade friction on the stability of stock market: Evidence from China

How Is the ESG Reflected in European Financial Stability?

COVID-19 pandemic and stability of stock market—A sectoral approach

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