Tail risk spillovers among Chinese stock market sectors

Minhua Ouyang and Hailian Xiao

Finance Research Letters, 2024, vol. 62, issue PB

Abstract: This study employs a combination of the CAViaR model and the TVP-VAR-based connectedness approach to investigate tail risk spillovers among Chinese stock sectors. Using daily data on ten sector indices from January 5, 2006, to September 28, 2023, the empirical findings reveal significant time-varying tail risk spillovers among sectors, with heightened spillovers observed during extreme events. Moreover, the industrials, materials, and consumer discretionary sectors are found to be the senders of tail risk spillovers, while the energy, estate, and finance sectors are receivers during the sample period. The findings carry substantial implications for policy shaping and investment decision-making.

Keywords: Chinese stock market; Tail risk spillovers; CAViaR model; TVP-VAR connectedness approach (search for similar items in EconPapers)
JEL-codes: C58 G12 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002630

DOI: 10.1016/j.frl.2024.105233

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