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Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data

Author

Listed:
  • Qiang Ji

    (Center for Energy and Environmental Policy research, Institutes of Science and Development, Chinese Academy of Sciences and School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing, China)

  • Bing-Yue Liu

    (Center for Energy and Environmental Policy research, Institutes of Science and Development, Chinese Academy of Sciences and Department of Statistics and Finance, University of Science and Technology of China, Hefei, China)

  • Juncal Cunado

    (University of Navarra, School of Economics, Edificio Amigos, E-31080 Pamplona, Spain)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

This paper analyses the risk spillover effect between the US stock market and the remaining G7 stock markets by measuring the conditional Value-at-Risk (CoVaR) using time-varying copula models with Markov switching and data that covers more than 100 years. The main results suggest that the dependence structure varies with time and has distinct high and low dependence regimes. Our findings verify the existence of risk spillover between the US stock market and the remaining G7 stock markets. Furthermore, the results imply the following: 1) abnormal spikes of dynamic CoVaR were induced by well-known historical economic shocks; 2) The value of upside risk spillover is significantly larger than the downside risk spillover and 3) The magnitudes of risk spillover from the remaining G7 countries to the US are significantly larger than that from the US to these countries.

Suggested Citation

  • Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017. "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers 201759, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201759
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    9. Shabir Mohsin Hashmi & Muhammad Akram Gilal & Wing-Keung Wong, 2021. "Sustainability of Global Economic Policy and Stock Market Returns in Indonesia," Sustainability, MDPI, vol. 13(10), pages 1-18, May.
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    15. Ana Monteiro & Nuno Silva & Helder Sebastião, 2023. "Industry return lead-lag relationships between the US and other major countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-48, December.
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    More about this item

    Keywords

    Time-varying copula; Markov switching; CoVaR; risk spillover; G7 stock markets;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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