Extreme risk spillovers between China and major international stock markets

• Authors: Lingling Qian , Yuexiang Jiang , Huaigang Long

Abstracts

EN

We examine the complex dependence structure and risk spillovers between the Chinese stock market and twelve major international markets. To this end, we employ three types of vine copulas and tests for the Granger causality in risk of Hong et al. (2009). The results indicate that the R-vine copula is the optimal model to characterize the high-dimensional dependence structure of the markets after China joined the WTO, which suggests obvious structural differences with varying degrees of mainly positive dependences. Moreover, we identify unilateral extreme risk spillovers from China to the United States, France, and Germany, and either from Japan to China. We also detect bilateral spillovers between China and the United States, Japan, as well as Australia.

Keywords

EN

vine copula; high-dimensional dependence structure; Granger causality in risk; extreme risk spillover

• Publisher: Fundacja Naukowa Instytut Współczesnych Finansów
• Journal: Modern Finance
• Year: 2023
• Volume: 1
• Issue: 1
• Pages: 30-34

Dates

published

2023

Contributors

author

Lingling Qian

• Hanhai Information Technology

author

Yuexiang Jiang

• Zhejiang University

author

Huaigang Long

• Zhejiang University of Finance and Economics

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Identifiers

DOI

10.61351/mf.v1i1.6

Biblioteka Nauki

23942713