Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data

Dong-hai Zhou, Xiao-xing Liu, Chun Tang and Guang-yi Yang

The North American Journal of Economics and Finance, 2023, vol. 64, issue C

Abstract: In this paper, a framework of analyzing risk spillovers between stock sectors is proposed based on the high-frequency data sampled for 5 min. We calculate a weighted directed network through the TVP-VAR model to analyze the time-varying risk spillovers between stock sectors with “different sources and different order moments”. The results show jumps in the realized volatility of five stock sectors during risk events. The static total volatility spillover index of China's stock sector exceeds 70%, which indicates that the risk of Chinese stock sector is high. In addition, volatility spillovers between sectors are asymmetric and time-varying, with “bad” volatility spillovers dominating. After 2019, the sensitivity difference of the overall stock sector to negative news and positive news shocks has a decreasing trend. The sector spillovers of the volatility, skewness and kurtosis are strengthened in the recession period and weakened in the boom period of stock market. Both the industry and utility sectors—particularly the industry sector—are the main net contributors of risk spillovers of volatility, skewness and kurtosis, while the real estate sector acts as the net receiver of risk spillovers. In the future, it is necessary to be alert to risk spillovers from the integrated sector.

Keywords: Chinese stock market; TVP-VAR spillovers; Good; And; Bad; Volatility; Higher-order moment risk (search for similar items in EconPapers)
JEL-codes: C32 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940822002054
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054

DOI: 10.1016/j.najef.2022.101870

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().