Systemic Risk Contribution and Contagion of Industrial Sectors in China: From the Global Financial Crisis to the COVID-19 Pandemic

Jianxu Liu, Yangnan Cheng, Yefan Zhou, Xiaoqing Li, Hongyu Kang, Songsak Sriboonchitta and Alfred Peris

Journal of Mathematics, 2021, vol. 2021, 1-16

Abstract: This paper investigates the risk contribution of 29 industrial sectors to the China stock market by using one-factor with Durante generator copulas (FDG) and component expected shortfall (CES) analyses. Risk contagion between the systemically most important sector and other sectors is examined using a copula-based ∆CoVaR approach. The data cover the 2008 global financial crisis and the beginning of the COVID-19 pandemic. The empirical results show that the banking sector contributed most to systemic risk before and during the global financial crisis. Nonbank finance became equally important in 2020, and the COVID-19 pandemic promoted the position of the computer and pharmaceuticals sectors. The spillover effect diminishes over time, but there remains risk contagion between sectors. The risk spillover trend is consistent with that of systemic risk.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/jmath/2021/9373614.pdf (application/pdf)
http://downloads.hindawi.com/journals/jmath/2021/9373614.xml (application/xml)

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:hin:jjmath:9373614

DOI: 10.1155/2021/9373614

Access Statistics for this article

More articles in Journal of Mathematics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().