Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets: Comparing the impacts of three Stock Connect programs

Yinhong Yao, Jingyu Li and Wei Chen

International Review of Economics & Finance, 2024, vol. 89, issue PA, 1217-1233

Abstract: This paper investigates the multiscale extreme risk spillovers among Shanghai, Shenzhen, Hong Kong, and London stock markets by combining the wavelet decomposition and time-varying copula-CoVaR methods, and compares the impacts of three Stock Connect programs proposed by China. Based on the daily closing prices of four stock indexes ranging from Jan 4, 2013, to Jan 21, 2022, we find that multiscale extreme risk spillovers significantly exist among four stock markets with dynamic and asymmetric characteristics. The magnitudes of risk spillover effects decrease as the time scale increases. The implementation of the SH-HK and SH-L programs could improve the spillovers between related stock markets, while the SZ-HK program possesses a slightly decreasing effect, and their impacts are lower than the external shock events. These results systematically reveal the extreme risk transmission features among four stock markets, which are beneficial for practical portfolio optimization and risk management in the opening stock markets.

Keywords: Extreme risk spillover; Multiscale analysis; Time-varying copula; Wavelet decomposition; Stock connect program (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056023003398
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:reveco:v:89:y:2024:i:pa:p:1217-1233

DOI: 10.1016/j.iref.2023.08.020

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().