Bidirectional Risk Spillovers between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach
Mingguo Zhao,
Hail Park
Abstract:This study aims to investigate bidirectional risk spillovers between the Chinese and other Asian stock markets. To achieve this, we construct a dynamic Copula-EVT-CoVaR model based on 11 Asian stock indexes from 1 January 2007 to 31 December 2021. The findings show that, firstly, synchronicity exists between the Chinese stock market and other Asian stock markets, creating conditions for risk contagion. Secondly, the Chinese stock market exhibits a strong risk spillover to other Asian stock markets with time-va… Show more
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