英文论文
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文献类型
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Article
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题名
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MEASURING FINANCIAL MARKET RISK CONTAGION BETWEEN CHINESE AND OTHER ONE BELT ONE ROAD COUNTRIES' STOCK MARKETS
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作者
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Xu, Haifeng; Zhang, Jiawen; Chen, Zhen
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作者单位
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[Xu, Haifeng] Xiamen Univ, Dept Stat, Sch Econ, Xiamen 361005, Peoples R China. [Xu, Haifeng; Chen, Zhen] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen 361005, Peoples R China. [Zhang, Jiawen] Xiamen Inst Software Technol, Xiamen, Peoples R China.
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通讯作者地址
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Xiamen Univ, Dept Stat, Sch Econ, Xiamen 361005, Peoples R China.; Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen 361005, Peoples R China.
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Email
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xhf1984@hotmail.co.jp
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ResearchID
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ORCID
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期刊名称
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SINGAPORE ECONOMIC REVIEW
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出版社
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WORLD SCIENTIFIC PUBL CO PTE LTD
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ISSN
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0217-5908
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出版信息
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2025-03, 70 (1):157-179.
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JCR
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4
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影响因子
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ISBN
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基金
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National Natural Science Foundation of China [71801184]; Natural Science Foundation of Fujian Province [2018J01114]
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会议名称
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会议地点
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会议开始日期
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会议结束日期
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关键词
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Risk contagion; tail dependence; dynamic Markov regime-switching copula; conditional value-at-risk
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摘要
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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.
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一级学科
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Economics
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WOS入藏号
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WOS:001577145700001
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EI收录号
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DOI
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10.1142/S0217590822500187
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ESI
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收录于
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SSCI
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