In a recent paper Juodis and Reese (2022) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection. They propose a randomized test statistic to correct for over-rejection, and add a screening component to...

This paper proposes a novel and intuitive indicator to measure market systemic risk. Using this indicator, we examine how responsive the integration of various hedging assets to a change in the market integration of equity markets. We formulate the risk indicator based on a measure of...