Is the Evergrande crisis spilling beyond China?

Shamima Ahmed, Ameet Kumar Banerjee, Wendy James and Faten Moussa

Research in International Business and Finance, 2024, vol. 67, issue PB

Abstract: This study investigates whether Evergrande transmits shocks to regional and global equity markets using the vector autoregressive (VAR), asymmetric dynamic conditional correlation (ADCC), and exponential generalised autoregressive conditional heteroskedasticity (EGARCH) models. The results show that Evergrande has caused notable and enduring shocks to both domestic and foreign equities markets. The spillover test further supports the idea that the Evergrande crisis has spread to important markets. The findings have practical implications for regulators, sovereign wealth managers, institutional and retail investors, and policymakers trying to come up with ways to deal with external shocks.

Keywords: Evergrande; Financial contagion; Real estate; Spillovers (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 G19 G20 (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)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002064

DOI: 10.1016/j.ribaf.2023.102080

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