Financial Quality Index (FQI)

Authors

  • Damià Rey Miró Barcelona Stock Exchange Studies (BME)
  • Pedro V. Piffaut Managing Director Langeron Econometrics, 156 West 56th Street 10th Floor, New York, NY 10019, USA

DOI:

https://doi.org/10.32826/cude.v42i119.170

Keywords:

stress index, composite indicator, real economy, systemic risk, financial quality index

Abstract

Once the financial crisis started in the middle of 2017, the financial authorities, as well as the main governments of developed economies, began to emphasize the importance of anticipating and estimating the systemic financial risks over the risk of a given sector. Beyond macroeconomic strength, if they have higher quality equity markets, countries should be better prepared to cope with potential volatility of capital flows. Consequently, the new European directive MIFID II (Markets in Financial Instruments Directive), which will come into force in January 2018, is based on the premises of the market's security, efficiency and transparency towards investors. The current work intends to develop an indicator that reinforces and measures the quality of the market, in particular the Spanish equity market, with the development of a new indicator called ICF (Financial Quality Index) that shows, in an objective way, the degree of maturity and market stability.

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Published

2018-12-12

Issue

Vol. 42 No. 119 (2019): Pages 81-206 (May-August 2019)

Section

Articles

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