Industry Characteristics and Financial Risk Contagion

@inproceedings{Chiu2015IndustryCA,
  title={Industry Characteristics and Financial Risk Contagion},
  author={Wan-Chien Chiu and Juan Ignacio Pe{\~n}a and Chih-Wei Wang},
  year={2015}
}
This article proposes a new measure of tail risk spillover: the conditional coexceedance (CCX), defined as the number of joint occurrences of extreme negative returns in an industry, conditional on an extreme negative return in the financial sector. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real sectors in the U.S. economy from 2001 to 2011. These spillovers increase in crisis periods. The CCX in a given… CONTINUE READING