Risk linkages between China's stock market and APEC stock markets under China's market liberalization

Sun, Guanglin; Yao, Xiaoyang; Li, Jianfeng; Lü, Tao

doi:10.1016/j.frl.2022.103586

Cited by 4 publications

(1 citation statement)

References 23 publications

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“…Jiang et al (2021) found that multiple developed countries such as the United States, Britain, and Japan have significant risk spillover effects on the Chinese stock market, and regulatory agencies must monitor multiple markets simultaneously. Sun et al (2023) identified a risk linkage between China and APEC stock markets, and China's capital market liberalization reform has strengthened this connection. Furthermore, Zhang et al (2022) explored the spillover paths of the European, American, and East Asian stock markets using a vine-copula model, confirming that risks from European and American stock markets are transmitted to China through Japan and Hong Kong.…”

Section: Literature Reviewmentioning

confidence: 99%

Bidirectional Risk Spillovers between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach

Zhao,

Park

2024

JRFM

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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-varying and heterogeneous characteristics. Additionally, the risk spillover displays an asymmetry, indicating that the intensity of risk spillover from other Asian stock markets to the Chinese is weaker than that from the Chinese to other Asian stock markets. Finally, the Chinese stock market generated significant extreme risk spillovers to other Asian stock markets during the 2007–2009 global financial crisis, the European debt crisis, the 2015–2016 Chinese stock market crash, and the China–US trade war. However, during the COVID-19 pandemic, the risk spillover intensity of the Chinese stock market was weaker, and it acted as the recipient of risk from other Asian stock markets. The originality of this study is reflected in proposing a novel dynamic copula-EVT-CoVaR model and incorporating multiple crises into an analytical framework to examine bidirectional risk spillover effects. These findings can help Asian countries (regions) adopt effective supervision to deal with cross-border risk spillovers and assist Asian stock market investors in optimizing portfolio strategies.

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Section: Literature Reviewmentioning

confidence: 99%

Bidirectional Risk Spillovers between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach

Zhao,

Park

2024

JRFM

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Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis

Kakran,

Kumari,

Bajaj

et al. 2024

The Journal of Economic Asymmetries

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Interest rate risk of Chinese commercial banks based on the GARCH-EVT model

Chen,

Shan,

Tang

et al. 2023

Humanit Soc Sci Commun

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Interest rate market risk faced by China’s commercial banks is increasing after the announcement that the interest rate marketisation is completed. This paper examines the Value-at-Risk, and statistical properties in the daily price return of Shanghai banks’ overnight offered rate. The study applies two-stage approaches, combining GARCH-type models with extreme value theory. Firstly, the Markov regime switching model is used to test the regime states of the series. Secondly, the performance of different VaR models are examined. Results show that the extreme value approach estimates better at the 99% confidence level. The EGARCH-GED model is the most suitable of the employed GARCH-type models. The back-testing results support the idea that the approach used in this study is appropriate for improving commercial banks’ daily risk management. This paper applies the GARCH-EVT method for interest rate measurement after China’s interest rate marketisation and added regime analysis of interest rate. Suggested policy implications will help formulate policies that guide the activities of commercial banks in China.

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Risk linkages between China's stock market and APEC stock markets under China's market liberalization

Cited by 4 publications

References 23 publications

Bidirectional Risk Spillovers between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach

Bidirectional Risk Spillovers between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach

Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis

Interest rate risk of Chinese commercial banks based on the GARCH-EVT model

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