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Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach

Zhihong Jian, Shuai Wu and Zhican Zhu

Emerging Markets Review, 2018, vol. 37, issue C, 98-113

Abstract: This paper proposes a predictive CoVaR measure to analyze asynchronous risk spillovers between the Chinese stock and futures market. We jointly model the intraday CoVaR dynamics using an extended MV-CAViaR model. The results show the presence of asymmetric spillovers under different market states, different trading rules, and different confidence levels. Specifically, there exist significant downside spillovers and insignificant upside spillovers. Moreover, the futures (stock) market becomes dominant in risk transmission during bearish (bullish) market periods. Furthermore, high margin requirements would weaken the spillover effects of the futures market, but it would also strengthen the spillover effects of the stock market.

Keywords: Intraday CoVaR; MV-CAViaR; Asymmetric risk spillovers; Spot stock and index futures markets (search for similar items in EconPapers)
JEL-codes: C14 C32 G10 G1 (search for similar items in EconPapers)
Date: 2018
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