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Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach

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  • Jin, Xiaoye

Abstract

We studied downside and upside risk spillovers from China to a set of Asian stock markets by computing the downside and upside CoVaR values and assessing spillover effects by testing for significant differences between the CoVaR and VaR values. We found evidence of a positive relationship between China and Asian stock markets, with bivariate dependence structure differed across Asian stock markets. Finally, we also found asymmetries in upside and downside risk spillovers, with higher intensity in downside risk spillovers. Our results, consistent with the increasing economic integration between China and Asian economies in the form of trade links and investment movements, indicate that investors should consider the existence of asymmetric spillover effects from China for downside and upside risk management of international portfolios for these Asian stock markets.

Suggested Citation

  • Jin, Xiaoye, 2018. "Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach," Finance Research Letters, Elsevier, vol. 25(C), pages 202-212.
    • Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:202-212
    DOI: 10.1016/j.frl.2017.10.027
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    3. Hongjun Zeng & Abdullahi D. Ahmed, 2022. "Market integration and volatility spillover across major East Asian stock and Bitcoin markets: an empirical assessment," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 19(4), pages 772-802, August.
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    More about this item

    Keywords

    Dependence structure; Downside risk; Upside risk; Copulas; Chinese market;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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