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Tail risk spillovers among Chinese stock market sectors

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  • Ouyang, Minhua
  • Xiao, Hailian

Abstract

This study employs a combination of the CAViaR model and the TVP-VAR-based connectedness approach to investigate tail risk spillovers among Chinese stock sectors. Using daily data on ten sector indices from January 5, 2006, to September 28, 2023, the empirical findings reveal significant time-varying tail risk spillovers among sectors, with heightened spillovers observed during extreme events. Moreover, the industrials, materials, and consumer discretionary sectors are found to be the senders of tail risk spillovers, while the energy, estate, and finance sectors are receivers during the sample period. The findings carry substantial implications for policy shaping and investment decision-making.

Suggested Citation

  • Ouyang, Minhua & Xiao, Hailian, 2024. "Tail risk spillovers among Chinese stock market sectors," Finance Research Letters, Elsevier, vol. 62(PB).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002630
    DOI: 10.1016/j.frl.2024.105233
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    References listed on IDEAS

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    More about this item

    Keywords

    Chinese stock market; Tail risk spillovers; CAViaR model; TVP-VAR connectedness approach;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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