Over-expected shocks and financial market security: Evidence from China's markets

Yueshan Li, Shoudong Chen, Ahmet Sensoy and Lu Wang

Research in International Business and Finance, 2024, vol. 68, issue C

Abstract: Based on the quantile connectedness method, we investigate China's financial market's structural characteristics under varying shock scales. Our results reveal an asymmetric U-shaped pattern of risk spillovers within China’s financial market under different shock magnitudes. The measures of relative intensity and relative tail dependence indicators show that the risk spillover is much larger in the right tail than in the intermediate and conditional mean states. Moreover, different financial sub-markets exhibit time-varying heterogeneity when facing over-expected shocks. The elasticity of risk-shock is greater in the money and foreign exchange markets. The commodity market tends to take on risk, but becomes a significant source of risk spillover during over-expected shocks. These findings offer policymakers valuable insights to comprehensively evaluate risks and effectively formulate policies.

Keywords: Over-expected Shock; Financial Market Security; Quantile Connectedness; Risk Spillover (search for similar items in EconPapers)
JEL-codes: C22 C51 G10 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531923003203
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:riibaf:v:68:y:2024:i:c:s0275531923003203

DOI: 10.1016/j.ribaf.2023.102194

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().