Dynamic spillover effects of global financial stress: Evidence from the quantile VAR network

Long, Shaobo; Li, Zixuan

doi:10.1016/j.irfa.2023.102945

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Cited by 6 publications

References 56 publications

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Assessing the impact of renewable energy tokens on BRICS stock markets: A new diversification approach

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Umar,

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Tail connectedness: Measuring the volatility connectedness network of equity markets during crises

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Liu,

Liu

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Pacific-Basin Finance Journal

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Spillover effects of climate transition risk and financial sectors: New evidence from China

Li,

2024

Australian Economic Papers

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This paper employs the connectedness approach based on a time‐varying parameter vector autoregressive model (TVP‐VAR) to examine the overall spillover effects, directional spillover effects and pairwise spillover effects of climate transition risk (CTR) and financial sectors of China in both the time domain and frequency domain. The main findings are as follows: Firstly, spillover effects from CTR are significant, impacting not only individual sectors but also amplifying across the entire system. Secondly, while the influence of CTR on financial sectors is lower compared to interconnections among financial sectors, it remains considerable. Thirdly, in the short‐term, risks transmit from CTR to financial sectors, while in the long‐term, the direction reverses. Fourthly, there were significant fluctuations in spillover effects among CTR and financial sectors from 2003 to 2008, indicating increased risk under extreme conditions. The findings of this study contribute to the understanding of potential risks in the financial system by regulatory authorities, facilitating the adoption of appropriate regulatory measures to maintain market stability. Moreover, it provides valuable insights for investors to better accurately assess risks and returns.

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Dynamic spillover effects of global financial stress: Evidence from the quantile VAR network

Cited by 6 publications

References 56 publications

Assessing the impact of renewable energy tokens on BRICS stock markets: A new diversification approach

Assessing the impact of renewable energy tokens on BRICS stock markets: A new diversification approach

Tail connectedness: Measuring the volatility connectedness network of equity markets during crises

Spillover effects of climate transition risk and financial sectors: New evidence from China

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