- Tytuł:
- Extreme risk spillovers between China and major international stock markets
- Autorzy:
-
Qian, Lingling
Jiang, Yuexiang
Long, Huaigang - Powiązania:
- https://bibliotekanauki.pl/articles/23942713.pdf
- Data publikacji:
- 2023
- Wydawca:
- Fundacja Naukowa Instytut Współczesnych Finansów
- Tematy:
-
vine copula
high-dimensional dependence structure
Granger causality in risk
extreme risk spillover - Opis:
- 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.
- Źródło:
-
Modern Finance; 2023, 1, 1; 30-34
2956-7742 - Pojawia się w:
- Modern Finance
- Dostawca treści:
- Biblioteka Nauki
Artykuł