Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach

Na Chen and Xiu Jin

The North American Journal of Economics and Finance, 2020, vol. 52, issue C

Abstract: This paper uses a spatial econometrics approach to study the industry risks in China’s stock market. We comprehensively consider the real linkage and information risk transmission channels and analyze the risk spillovers of specific determinants. Our empirical results show the following: 1) The real linkage channel and information channel are both effective transmission channels for driving spillover effects, and the information channel is of the utmost importance. 2) The spillover effects of specific determinants exist and are persistent. The superposition of spillover effects may lead to extreme risk. 3) The transmission channels and spillover effects are asymmetric in different regimes.

Keywords: Spillover effects; Specific determinant; Transmission channels; Dynamic spatial panel data model; Industry risks (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986

DOI: 10.1016/j.najef.2019.101137

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