Sectoral contributions to systemic risk in the Chinese stock market

Fei Wu

Finance Research Letters, 2019, vol. 31, issue C

Abstract: This paper investigates the question of how much each sector contributes to systemic risk in the Chinese stock market. Based on two recently developed approaches, namely, Marginal Expected Shortfall (MES) and Component Expected Shortfall (CES), the empirical results demonstrate that weights of sectors matter. Moreover, Financials, Industrials and Energy sectors are found to be the top risk contributors, though their contributions tend to evolve over time. The results have strong implications to both investors and regulators for risk management and regulatory purposes.

Keywords: Component expected shortfall; Marginal expected shortfall; Sectoral analysis; Stock market; Systemic risk (search for similar items in EconPapers)
JEL-codes: G01 G32 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306949

DOI: 10.1016/j.frl.2018.12.009

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