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Jump risk in the US financial sector


Gajurel, D and Dungey, M and Yao, W and Jeyasreedharan, N, Jump risk in the US financial sector, Economic Record, 96, (314) pp. 331-349. ISSN 0013-0249 (2020) [Refereed Article]

Copyright Statement

Copyright 2020 Economic Society of Australia

DOI: doi:10.1111/1475-4932.12565


In this paper we establish empirical evidence for the relationship between the systematic jump betas of financial institutions and two types of systemic risk index: a capital shortfall index and a interconnectedness index. Using high‐frequency data for US financial sector stocks, we show that equity market jumps are positively related to capital shortfall and negatively related to interconnectedness. Higher potential capital shortfall measures of systemic risk lead to a greater sensitivity to systematic jumps, while increased interconnectedness leads to greater resistance. Our findings, along with indicators such as size and leverage, provide a means to identify the possible trade‐offs that regulators might face when assessing the systemic risks of financial institutions, particularly in the context of the cross‐multiple influences within the sector.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied economics
Research Field:International economics
Objective Division:Economic Framework
Objective Group:Microeconomics
Objective Field:Microeconomics not elsewhere classified
UTAS Author:Dungey, M (Professor Mardi Dungey)
UTAS Author:Jeyasreedharan, N (Dr Nagaratnam Jeyasreedharan)
ID Code:141214
Year Published:2020
Web of Science® Times Cited:1
Deposited By:TSBE
Deposited On:2020-10-05
Last Modified:2021-04-26

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