Tail risk network of Chinese green-related stocks market

Wuyi Ye, Chenglong Hu and Ranran Guo

Finance Research Letters, 2024, vol. 67, issue PB

Abstract: This paper explores the tail risk network in the Chinese green-related stock market, by estimating the Copula-MIDAS-LASSO model. The model integrates characteristic factors and improves the model’s ability to capture the tail risk spillover. Additionally, we utilize the MTS network and the threshold network to picture the network in the market. The findings reveal that securities consistently hold central positions in the risk contagion network, with GFS, CUB, and PAI being three key sources of risk contagion. Finally, the subsample analysis demonstrates that the green finance policy and financial crises contribute to increased risk dependence within the market.

Keywords: Green finance; Copula-MIDAS-LASSO; Network centrality; Minimum spanning tree; Tail spillover network (search for similar items in EconPapers)
JEL-codes: C21 G32 Q50 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008328

DOI: 10.1016/j.frl.2024.105802

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