Local speculative culture and stock price crash risk

Zuo, Jingjing; Qiu, Baoyin; Zhu, Guoyiming; Lei, Guangyong

doi:10.1016/j.ribaf.2022.101851

Cited by 10 publications

(1 citation statement)

References 80 publications

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“…The strong co-movement of stock markets lays the groundwork for risk transmission (Chopra and Mehta 2022). As an emerging financial market with excessive speculation, the Chinese stock market significantly impacts the smooth functioning of the other stock markets, posing challenges to financial risk management (Zuo et al 2023). Particularly in the context of the COVID-19 pandemic, investigating the dependence and risk spillover effects between Chinese and other Asian stock markets is critical to preventing risk contagion and maintaining financial market stability.…”

Section: Introductionmentioning

confidence: 99%

Bidirectional Risk Spillovers between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach

Zhao,

Park

2024

JRFM

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This study aims to investigate bidirectional risk spillovers between the Chinese and other Asian stock markets. To achieve this, we construct a dynamic Copula-EVT-CoVaR model based on 11 Asian stock indexes from 1 January 2007 to 31 December 2021. The findings show that, firstly, synchronicity exists between the Chinese stock market and other Asian stock markets, creating conditions for risk contagion. Secondly, the Chinese stock market exhibits a strong risk spillover to other Asian stock markets with time-varying and heterogeneous characteristics. Additionally, the risk spillover displays an asymmetry, indicating that the intensity of risk spillover from other Asian stock markets to the Chinese is weaker than that from the Chinese to other Asian stock markets. Finally, the Chinese stock market generated significant extreme risk spillovers to other Asian stock markets during the 2007–2009 global financial crisis, the European debt crisis, the 2015–2016 Chinese stock market crash, and the China–US trade war. However, during the COVID-19 pandemic, the risk spillover intensity of the Chinese stock market was weaker, and it acted as the recipient of risk from other Asian stock markets. The originality of this study is reflected in proposing a novel dynamic copula-EVT-CoVaR model and incorporating multiple crises into an analytical framework to examine bidirectional risk spillover effects. These findings can help Asian countries (regions) adopt effective supervision to deal with cross-border risk spillovers and assist Asian stock market investors in optimizing portfolio strategies.

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Section: Introductionmentioning

confidence: 99%