Financial market spillovers and macroeconomic shocks: Evidence from China

Haoyuan Feng, Yue Liu, Jie Wu and Kun Guo

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: With the development of China’s financial reform, Chinese financial markets have become closely linked. The cross-market spillover effect of financial risks is at the core of systemic risks. This paper’s marginal contributions include (1) a new method is proposed based on structure learning for Bayesian networks to measure the multilateral spillover effect of a multiasset financial system. Additionally, this paper discusses (2) the macroeconomic mechanism behind the linkage of financial markets. The empirical results show that (1) the linkages between financial markets significantly exist, (2) uncertainty and negative macroeconomic shocks enhance the spillover effect in financial markets, and (3) the impact of negative macroeconomic shocks on the spillover effect of the financial market is weakened at the high economic growth stage.

Keywords: Spillover effect; Financial market; Bayesian network; Macroeconomic shocks (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000879

DOI: 10.1016/j.ribaf.2023.101961

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