摘要：In this paper, we exploit the impacts of extreme asset prices (high-low ranges) on multiple horizons and use a conditional value-at-risk (CoVaR) model to evaluate the degree of risk contagion between stock markets and carry-trade markets. We associate the systemic risk of a financial market with conditions in related markets during periods of crisis. The model can be empirically applied to diversified portfolio strategies, but the systemic risk involved is conditional on closely related financial markets. Most notably, our evidence shows that this propagating effect was significant during the 2000-2001 tech bubble and 2007-2009 global financial crisis periods and not reveal negligible risk spillover effect during the 2015-2016 Brexit (British exit from European Union) and potential possible Grexit (Greece’s potential exit from European Union) periods. Moreover, the CoVaR value is shown to be a strong alternative indicator of risk management and asset allocation, especially for investments in carry-trade and stock markets.
