Essays on systemic risk in financial markets

Wu, Fei (2020). Essays on systemic risk in financial markets. University of Birmingham. Ph.D.

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Abstract

The three main chapters of this thesis jointly seek to empirically model systemic risk in financial markets. Chapters 2 and 3 focus on China’s stock market at both sectoral and institutional levels. Chapter 2 adopts two recently developed approaches, Marginal Expected Shortfall and Component Expected Shortfall, to evaluate each sector’s contribution to systemic risk . Chapter 3 uses conditional Value-at-Risk characterized by dynamic copulas to identify risk spillovers between financial institutions and the financial system. Certain sectors and institutions are identified as key risk contributors. Their contributions exhibit clear time-varying patterns.

Chapter 4 extends to explore regional financial integration across nine stock markets in East and Southeast Asia . Empirical results based on a vector autoregressive (VAR) network approach show that the seemingly high regional stock market integration is largely driven by common global factors. After filtering these factors from individual markets, the interconnectedness falls substantially. The overestimated interconnectedness is mainly a reflection of stronger global influences on individual markets over time, while their intrinsic interconnectedness attributable to non-global factors shows a descending trend after the global financial crisis and its aftermath. These findings offer practical implications to investors and regulators for risk management and regulatory purposes.

Footnote:
1. Chapter 2 is based on a published article (Wu, 2019a) in Finance Research Letters, 2019, 31, 386-390.
2. Chapter 4 is based on a published article (Wu, 2019b) in International Review of Financial Analysis, doi.org/10.1016/j.irfa.2019.101416.

Type of Work: Thesis (Doctorates > Ph.D.)
Award Type: Doctorates > Ph.D.
Supervisor(s):
Supervisor(s)EmailORCID
Dickinson, DavidUNSPECIFIEDUNSPECIFIED
Horsewood, NicholasUNSPECIFIEDUNSPECIFIED
Licence: All rights reserved
College/Faculty: Colleges (2008 onwards) > College of Social Sciences
School or Department: Birmingham Business School, Department of Economics
Funders: None/not applicable
Subjects: H Social Sciences > HG Finance
URI: http://etheses.bham.ac.uk/id/eprint/10296

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