This paper examines financial linkages among Asia-Pacific stock markets and those between these markets and other global markets. By studying the mean and tail dependences of the 37 stock market indices, we find that while Asia-Pacific stock markets is mainly driven by shocks within the...

The growing reliance on ETFs, especially for those ETFs being redeemed in cash, has raised concerns about their resilience to a market downturn. We show that abrupt redemptions of cash-redeemable ETFs may occur during a market downturn. In particular, an initial redemption shock to ETFs with a...

This paper employs a panel logistic regression to evaluate the role of global and domestic risk factors in explaining sovereign tail risk for 18 emerging economies (EMEs). Sovereign tail risk is defined as the likelihood of a sharp rise in sovereign credit risk. We find that both global and...

This paper proposes a model based on probability density functions associated with dynamics of underlying asset prices to measure contagion-induced systemic risk in the market. The two new risk measures with closed-form formulas derived from the model are:(1) the rate of change of the...