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Social Indicators Research

, Volume 146, Issue 1–2, pp 169–186 | Cite as

Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis

  • Lea PetrellaEmail author
  • Alessandro G. Laporta
  • Luca Merlo
Article

Abstract

This work is intended to assess the contribution to systemic risk of major companies in the European stock market on a geographical basis. We use the EuroStoxx 50 Index as a proxy for the financial system and we rely on the CoVaR and \(\varDelta\)-CoVaR risk measures to estimate the contribution of each European country belonging to the index to systemic risk. We also conduct the significance and dominance test to evaluate whether the systemic relevance of considered countries is statistically significant and to determine which nation exerts the greatest influence on the spreading of negative spillover effects on the entire economy. Our empirical results show that, for the period ranging from 2008 to 2017, all countries contribute significantly to systemic risk, especially in times of crisis and high volatility in the markets. Moreover, it emerges that France is the systemically riskiest country, followed by Germany, Italy, Spain and Netherlands.

Keywords

Systemic risk CoVaR \(\varDelta\)-CoVaR Quantile regression EuroStoxx 50 Index 

Notes

Funding

This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors.

Compliance with Ethical Standards

Conflict of interest

The authors declare that they have no conflict of interest.

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Copyright information

© Springer Science+Business Media B.V., part of Springer Nature 2018

Authors and Affiliations

  • Lea Petrella
    • 1
    Email author
  • Alessandro G. Laporta
    • 1
  • Luca Merlo
    • 1
  1. 1.MEMOTEF DepartmentSapienza University of RomeRomeItaly

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