Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach

Xiaoye Jin

Finance Research Letters, 2018, vol. 25, issue C, 202-212

Abstract: We studied downside and upside risk spillovers from China to a set of Asian stock markets by computing the downside and upside CoVaR values and assessing spillover effects by testing for significant differences between the CoVaR and VaR values. We found evidence of a positive relationship between China and Asian stock markets, with bivariate dependence structure differed across Asian stock markets. Finally, we also found asymmetries in upside and downside risk spillovers, with higher intensity in downside risk spillovers. Our results, consistent with the increasing economic integration between China and Asian economies in the form of trade links and investment movements, indicate that investors should consider the existence of asymmetric spillover effects from China for downside and upside risk management of international portfolios for these Asian stock markets.

Keywords: Dependence structure; Downside risk; Upside risk; Copulas; Chinese market (search for similar items in EconPapers)
JEL-codes: C58 F36 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:202-212

DOI: 10.1016/j.frl.2017.10.027

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