Abstract

http://ssrn.com/abstract=2105557
 
 

References (39)



 


 



The Rise of Global Stock Market Crash Probabilities


Thijs D. Markwat


Robeco Asset Management

June 7, 2012


Abstract:     
This paper examines the effects of increased interdependence between international stock markets on the probability of global crashes. Global crashes are detrimental to investors, because during such crashes diversification opportunities evaporate. We use three different copulas with different dependence characteristics to allow for possibly nonlinear features in the dependence between stock markets. Irrespective of which copula is used, we find that the probability of observing a global crash in a given week has increased fifteen times. This significantly and dramatically increased global crash probability shows the decrease in diversification opportunities in global stock markets. The Asian crisis and particularly the credit crisis contributed to substantially higher global crash probabilities.

Number of Pages in PDF File: 40

Keywords: Crashes, Stock Markets, Copulas, Dependence, Asymmetry

JEL Classification: G100, F3

working papers series


Download This Paper

Date posted: July 15, 2012  

Suggested Citation

Markwat, Thijs D., The Rise of Global Stock Market Crash Probabilities (June 7, 2012). Available at SSRN: http://ssrn.com/abstract=2105557 or http://dx.doi.org/10.2139/ssrn.2105557

Contact Information

Thijs Dingeman Markwat (Contact Author)
Robeco Asset Management ( email )
Coolsingel 120
3011 AG
Rotterdam
Netherlands
Feedback to SSRN


Paper statistics
Abstract Views: 1,953
Downloads: 319
Download Rank: 53,467
References:  39

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.547 seconds