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A Study on the Comovement of Industry Default
- Authors
- Jeon, Haehyun; Kim, So-Yeun; Kim, Changki
- Issue Date
- Dec-2015
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- comovement; non-parametric statistics; multivariate correlation measure; concordance; industry default
- Citation
- KOREAN JOURNAL OF APPLIED STATISTICS, v.28, no.6, pp.1289 - 1312
- Journal Title
- KOREAN JOURNAL OF APPLIED STATISTICS
- Volume
- 28
- Number
- 6
- Start Page
- 1289
- End Page
- 1312
- ISSN
- 1225-066X
- Abstract
- This paper studies the comovement of industry defaults among listed companies. Rank correlation coefficients of Spearman's rho and Kendall's tau measure the concordance of default. These non-parametric coefficients do not require distributional assumptions and are easily used even with less data and extreme values. This study predicts a future financial crisis by looking at the comovement of industry defaults. We expect our analyses will aid market participants (including company executives) in making investment or risk management decisions.
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Collections - College of Business Management > Finance and Insurance Major > 1. Journal Articles
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