Risk contribution of the Chinese stock market to developed markets in the post-crisis period

Honghai Yu, Libing Fang, Boyang Sun and Donglei Du

Emerging Markets Review, 2018, vol. 34, issue C, 87-97

Abstract: China sped up its progress toward the opening of its stock market in the post-crisis period after 2010. This study aims to investigate the risk contribution of the Chinese stock market to four representative developed markets. The significance and dominance of the risk contribution are tested with the extended Kolmogorov-Smirnov statistic by a bootstrap strategy. The results show a significant risk contribution of China to all the four developed countries. The dominance testing result shows clear regional effect in the risk contribution. The determinants of the risk contribution by macroeconomic variables are also identified in a forward-looking way.

Keywords: Chinese stock market; Risk contribution; CoVaR; Tail risk (search for similar items in EconPapers)
JEL-codes: C32 C54 E30 G18 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014117301632
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:34:y:2018:i:c:p:87-97

DOI: 10.1016/j.ememar.2017.10.006

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().