Risk contagion between commodity and China's stock markets under the impact of major events

Shichao Hu, Jiaying Luo, Ganlin Pu, Shengxi Xue and Xueping Wang

Finance Research Letters, 2025, vol. 78, issue C

Abstract: We explore the risk contagion between commodity and stock markets under the influence of different major events by constructing the R-Vine-Copula model combined with topology methods. The results indicate that cross-market risk contagion is significantly amplified during major events, with international crude oil and US stock markets primarily driving the risk spillover. Meanwhile, China's stock market acts as a net risk recipient. Besides, both total and directional risk spillover indices increase significantly in extreme states, with an asymmetric effect at the upper and lower tails.

Keywords: Risk contagion; China's stock market; Major events; R-Vine-Copula (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004751

DOI: 10.1016/j.frl.2025.107212

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