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The Leaders, the Laggers, and the “Vulnerables”

Department of Economic and Regional Development, Panteion University, Syggrou Avenue 136, 176 71 Athens, Greece
Department of Finance, An-Najah National University, Nablus, P.O. Box: 7, Palestine
Author to whom correspondence should be addressed.
Risks 2020, 8(1), 26;
Received: 1 November 2019 / Revised: 14 February 2020 / Accepted: 4 March 2020 / Published: 12 March 2020
(This article belongs to the Special Issue Financial Networks in Fintech Risk Management)
We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing two global weekly rebalanced indices. We focus on the 10% of stocks that “survived” all the rebalancings by remaining constituents of the indices. We sort them according to their systemic importance using the marginal expected shortfall (MES), which measures the individual institutions’ vulnerability over the market, the network based MES, which captures the vulnerability of the risks generated by institutions’ interrelations, and the Bayesian network based MES, which takes into account different network structures among institutions’ interrelations. We also check if the lead-lag effect holds in terms of systemic risk implying systemic risk transmission from the large to the small capitalization, concluding a mixed behavior compared to the index returns. Additionally, we find that all the systemic risk indicators increase their magnitude during the financial crisis. View Full-Text
Keywords: financial networks; lead-lag effect; systemic risk; VAR financial networks; lead-lag effect; systemic risk; VAR
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MDPI and ACS Style

Arakelian, V.; Qamhieh Hashem, S. The Leaders, the Laggers, and the “Vulnerables”. Risks 2020, 8, 26.

AMA Style

Arakelian V, Qamhieh Hashem S. The Leaders, the Laggers, and the “Vulnerables”. Risks. 2020; 8(1):26.

Chicago/Turabian Style

Arakelian, Veni, and Shatha Qamhieh Hashem. 2020. "The Leaders, the Laggers, and the “Vulnerables”" Risks 8, no. 1: 26.

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