Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries

Yusen Feng, Gang-Jin Wang, You Zhu and Chi Xie

Emerging Markets Review, 2023, vol. 55, issue C

Abstract: We construct time-varying tail risk networks to investigate systemic risk spillovers in the Belt and Road (B&R) stock markets during 2008–2021. Network metrics clearly reflect aggregate risk level and individual risk accumulation for the B&R stock markets under extreme events (e.g., 2008 financial crisis and COVID-19 pandemic). Tail-event driven network quantile regression analysis shows that network impacts of the B&R stock markets under different risk levels are asymmetric and regional heterogeneity. Panel analysis on determinants of systemic risk spillovers shows that cross-border investment and international trade are significant contagion channels while economic freedom is potential driver.

Keywords: Systemic risk; The Belt and Road; Stock market; Risk spillovers; Determinants; Network analysis (search for similar items in EconPapers)
JEL-codes: G15 G18 G23 G32 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250

DOI: 10.1016/j.ememar.2023.101020

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