Has the Evergrande debt crisis rattled Chinese capital markets? A series of event studies and their implications

Edward Altman, Xiaolu Hu and Jing Yu

Finance Research Letters, 2022, vol. 50, issue C

Abstract: In response to the global concern of the Evergrande debt crisis, we document several findings of the crisis's contagion effect. First, although most real estate companies have strong financial fundamentals, the high default risk among large firms sends an alarming signal. Second, the spillover effect to peer developers is stronger in the credit market than in the stock market. Finally, the systemic financial risk of the banking sector remains low during the crisis. Overall, while there is a low probability of a wide-ranging financial crisis, a debt crisis in the real estate sector might be on the horizon.

Keywords: Evergrande; Credit risk; China markets; Event studies (search for similar items in EconPapers)
JEL-codes: G12 G15 G23 G24 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004457

DOI: 10.1016/j.frl.2022.103247

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