Systemic risk among Chinese oil and petrochemical firms based on dynamic tail risk spillover networks

Tingqiang Chen, Xin Zheng and Lei Wang

The North American Journal of Economics and Finance, 2025, vol. 77, issue C

Abstract: This study examines the dynamic network of tail risk spillovers among Chinese oil and petrochemical firms listed on the Shanghai and Shenzhen A-share markets from 2015 to 2023. Employing the single-index quantile regression technique and the tail risk spillover model, it constructs a framework to assess systemic risk transmission within the oil and petrochemical industry. A block model is utilized to explore clustering patterns of risk spillovers, focusing on the overall network structure and individual firms’ roles. The findings reveal a significant systemic risk spillover effect, with the volatility of tail risk spillovers closely tied to geopolitical and financial risks. The industry predominantly exhibits characteristics of a scale-free network, transitioning to a small-world network when risk spillover intensity declines. Unlike the financial and real estate sectors, the oil and petrochemical industry’s risk spillover network features pronounced modularity inversely related to spillover intensity. Oil exploration firms and petrochemical product segments are identified as primary sources and recipients of risk spillovers, reflecting a bidirectional relationship. Conversely, oil transportation firms act as intermediaries, while oil refining firms primarily display intra-segment spillovers.

Keywords: Chinese oil and petrochemical firms; Systemic risk; Dynamic tail risk spillover network; Block modeling (search for similar items in EconPapers)
JEL-codes: Q43 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940825000440
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:77:y:2025:i:c:s1062940825000440

DOI: 10.1016/j.najef.2025.102404

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 ().