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Measuring Financial Market Risk Contagion Between Chinese And Other One Belt One Road Countries’ Stock Markets

Author

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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)

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.

Suggested Citation

  • Haifeng Xu & Jiawen Zhang & Zhen Chen, 2025. "Measuring Financial Market Risk Contagion Between Chinese And Other One Belt One Road Countries’ Stock Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 70(01), pages 157-179, March.
    • Handle: RePEc:wsi:serxxx:v:70:y:2025:i:01:n:s0217590822500187
    DOI: 10.1142/S0217590822500187
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    More about this item

    Keywords

    Risk contagion; tail dependence; dynamic Markov regime-switching copula; conditional value-at-risk;
    All these keywords.

    JEL classification:

    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • F15 - International Economics - - Trade - - - Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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