MEASURING FINANCIAL MARKET RISK CONTAGION BETWEEN CHINESE AND OTHER ONE BELT ONE ROAD COUNTRIES’ STOCK MARKETS

Haifeng Xu, Jiawen Zhang and Zhen Chen
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Haifeng Xu: Department of Statistics, School of Economics and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen 361005, P. R. China
Jiawen Zhang: ��Xiamen Institute of Software Technology, Xiamen, P. R. China
Zhen Chen: ��Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen 361005, P. R. China

The Singapore Economic Review (SER), 2025, vol. 70, issue 01, 157-179

Abstract: In this paper, we employ the dynamic Markov regime-switching copula model to measure the financial risk contagion among the One Belt One Road (OBOR) countries. To investigate the impact of the OBOR initiative, we divide the sample period into two subsamples and calculate the daily low/high tail dependence by adopting international stock market index data from January 2004 to March 2020. The results provide evidence of financial risk contagion effects, an asymmetric risk spillover and increased tail dependence between the Chinese stock market and those of other OBOR countries.

Keywords: Risk contagion; tail dependence; dynamic Markov regime-switching copula; conditional value-at-risk (search for similar items in EconPapers)
JEL-codes: F13 F15 G15 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S0217590822500187

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