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Risk contribution of the Chinese stock market to developed markets in the post-crisis period

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  • Yu, Honghai
  • Fang, Libing
  • Sun, Boyang
  • Du, Donglei

Abstract

China sped up its progress toward the opening of its stock market in the post-crisis period after 2010. This study aims to investigate the risk contribution of the Chinese stock market to four representative developed markets. The significance and dominance of the risk contribution are tested with the extended Kolmogorov-Smirnov statistic by a bootstrap strategy. The results show a significant risk contribution of China to all the four developed countries. The dominance testing result shows clear regional effect in the risk contribution. The determinants of the risk contribution by macroeconomic variables are also identified in a forward-looking way.

Suggested Citation

  • Yu, Honghai & Fang, Libing & Sun, Boyang & Du, Donglei, 2018. "Risk contribution of the Chinese stock market to developed markets in the post-crisis period," Emerging Markets Review, Elsevier, vol. 34(C), pages 87-97.
    • Handle: RePEc:eee:ememar:v:34:y:2018:i:c:p:87-97
    DOI: 10.1016/j.ememar.2017.10.006
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    More about this item

    Keywords

    Chinese stock market; Risk contribution; CoVaR; Tail risk;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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