A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets

Zheng, Yanting; Luan, Xin; Lu, Xin; Liu, Jiaming

doi:10.1016/j.irfa.2023.102920

Cited by 6 publications

(3 citation statements)

References 56 publications

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“…The dependence structure across diverse markets, which provides richer information than individual dependence coefficients, is currently a prominent focus in risk contagion (Zheng et al 2023). An increasing number of studies have applied copula approaches to examine the presence of dependence structure across markets, including equity (Aslam et al 2023), commodity (Xiao et al 2023), currency (BenSaïda 2023), etc.…”

Section: Dependence Structure Of Sectoral Marketsmentioning

confidence: 99%

“…Zhang et al (2022aZhang et al ( , 2022b analyzed the dynamic interconnectedness of sustainability-related financial assets. Moreover, Liu et al (2023) discovered that ESG investment generally mitigates risk spillovers across various financial markets, concurrently bolstering Chinese financial stability.…”

Section: Esg and Spillover Effectsmentioning

confidence: 99%

“…To measure the performance of tech stocks regarding I4.0, the S&P Kensho New Economy Sector Indices, widely employed in the literature (Ghaemi Asl et al 2023a;Liu 2024;Shrestha et al 2023;Yaqoob and Maqsood 2024), are utilized as proxies for ten tech sectors. Following Liu et al (2023), we use the S&P 500 ESG Index to represent the performance of ESG integration and the S&P 500 to represent those without special consideration of ESG. Table 1 presents a summary of the aforementioned indices.…”

Section: Datamentioning

confidence: 99%

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Can ESG Integration Enhance the Stability of Disruptive Technology Stock Investments? Evidence from Copula-Based Approaches

Yu,

Xu,

Chen

2024

JRFM

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This paper provides an investigation into the dependence structure among different disruptive technology sectors driving the Fourth Industrial Revolution and scrutinizes the impact of ESG integration on shaping investments in different tech stock sectors in the presence of ESG consideration, represented by the ESG stock index, versus without specific ESG consideration, represented by the general stock index. The results show that (i) C-vine outperforms R-vine and D-vine when modeling the dependence structure of tech sectors. Intelligent infrastructure is the most crucial sector, with substantial reliance on smart transportation and advanced manufacturing. (ii) ESG integration reduces dependence, especially tail dependence, between tech sectors and the stock market, which benefits the future security sector the most and future communication the least. (iii) ESG integration mitigates risk spillover between tech sectors and the stock market, particularly benefiting final frontiers and intelligent infrastructure. The decrease in downside spillover is more significant compared to upside scenarios. For downside risk, spillover from tech sectors to stock indices is more reduced than the reverse, while the opposite holds for upside risk. These sectoral findings offer insights for market participants in financial market investments, financial regulators in risk management, and listed companies in ESG disclosure.

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Section: Dependence Structure Of Sectoral Marketsmentioning

confidence: 99%