Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach

Jian, Zhihong; Wu, Shuai; Zhu, Zhican

doi:10.1016/j.ememar.2018.06.001

Cited by 27 publications

(8 citation statements)

References 48 publications

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“…This approach has the merit to define the tail-dependence and intense contagion risk. The CoVaR has been broadly used in the economic and financial areas ( Jian et al, 2018 ; Jin, 2018 ). We apply CoVaR to evaluate contagion from the US to East Asian stock markets returns.…”

Section: Resultsmentioning

confidence: 99%

Stock market comovements: Evidence from the COVID-19 pandemic

Zehri

2021

The Journal of Economic Asymmetries

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The COVID-19 pandemic shock has harmed the US and East Asian stock markets. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula CoVaR approach to address the debate on the extreme risk spillovers from the US to China, Japan, Hong Kong, and South Korea stock returns. The results show a large spillover effect from the US to East Asian stock markets. Compared to the tranquil period, these spillovers become stronger in the COVID-19 period. The findings show that indirect spillovers on the Chinese stock market are heavier than direct spillovers, and impacts deluge only via Hong Kong. The study contrasts spillover’ features of the US COVID-19 shock and the Chinese 2015 crisis. These findings provide useful support for policymakers and risk managers involved in the East Asian stock markets.

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Section: Resultsmentioning

confidence: 99%

Stock market comovements: Evidence from the COVID-19 pandemic

Zehri

2021

The Journal of Economic Asymmetries

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“… 6 Global financial crisis in 2007–2009, European debt crisis in 2010–2012 ( Akhtaruzzaman, Abdel-Qader, Hammami, & Shams, 2019 ), Russian financial crisis in 2014–2015 ( Viktorov & Abramov, 2020 ), Chinese stock market crash in 2014–2015 ( Jian, Wu, & Zhu, 2018 ). …”

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confidence: 99%

COVID−19 and oil price risk exposure

Akhtaruzzaman

Boubaker

Chiah

et al. 2021

Finance Research Letters

123

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Highlights Oil supplier industries are associated with the highest positive exposure to oil price risk Oil user industries exhibit negative exposure to oil price risk COVID–19 appears to moderate oil price risk exposure of industries Oil price risk exposure of industries appears to be similar across regions Results are robust to alternative asset pricing models

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“…Related with China, in Jian et al (2018) a measure (multivariate semiparametric predictive CoVaR) bidirectional dynamics is derived from a MV-CAViaR model to study the asymmetry of Chinese stock exchange and the futures markets as main transmission depending on the periods of bullish and bearish in the market.…”

Section: Literature Reviewmentioning

confidence: 99%

Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets

Bautista

Mora

2021

JEFAS

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PurposeThis paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods.Design/methodology/approachMany VaR estimation models have been presented in the literature. In this paper, the VaR is estimated using the Generalized Autoregressive Conditional Heteroskedasticity, EGARCH and GJR-GARCH models under normal, skewed-normal, Student-t and skewed-Student-t distributional assumptions and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR) considering the four alternative specifications proposed by Engle and Manganelli (2004).FindingsThe results support the robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods. This evidence is based on the results of the backtesting approach that analyzed the predictive performance of the models according to their accuracy.Originality/valueAn important issue in market risk is the inaccurate estimation of risk since different VaR models lead to different risk measures, which means that there is not yet an accepted method for all situations and markets. In particular, quantifying and forecasting the risk for the MILA and ASEAN-5 stock markets is crucial for evaluating global market risk since the MILA is the biggest stock exchange in Latin America and the ASEAN region accounted for 11% of the total global foreign direct investment inflows in 2014. Furthermore, according to the Asian Development Bank, this region is projected to average 7% annual growth by 2025.

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Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach

Cited by 27 publications

References 48 publications

Stock market comovements: Evidence from the COVID-19 pandemic

Stock market comovements: Evidence from the COVID-19 pandemic

COVID−19 and oil price risk exposure

Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets

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