Will a boom be followed by crash? A new systemic risk measure based on right-tail risk
In this study, we demonstrate that high short-term gains on the A-share market may lead to significant losses in the future and potentially cause a market catastrophe. To study the accumulation, outbreak, and cross-sector spillover process of systemic risk in the Chinese stock market, we define righ...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2023-02-01
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| Series: | Frontiers in Psychology |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fpsyg.2022.1104618/full |