A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China

被引：1
|
作者：
Di, Junpeng [1 ]
Zhu, Pingfang [1 ]
机构：
[1] Shanghai Acad Social Sci, Shanghai, Peoples R China
来源：
GLOBAL FINANCE JOURNAL | 2015年 / 26卷
基金：
中国国家自然科学基金;
关键词：
Bayesian quantile regression; CVaR-Granger causality test; Extreme risk; Source;
D O I：
10.1016/j.gfj.2015.01.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Risk contagion has attracted increasing research attention in recent years. In this paper, we combined conditional Value at Risk (CVaR), Bayesian quantile regression and Granger causality test to propose a Bayesian CVaR-Granger causality test method, which is an efficient tool in analyzing sources of extreme risks in a financial market. Using this method, we determined the sources of extreme risks in major stock markets in China. (C) 2015 Published by Elsevier Inc.
引用
收藏
页码：18 / 28
页数：11
相关论文
共 50 条
  • [21] Extreme downside risk connectedness between green energy and stock markets
    Alomari, Mohammed
    El Khoury, Rim
    Mensi, Walid
    Vo, Xuan Vinh
    Kang, Sang Hoon
    ENERGY, 2024, 312
  • [22] Behavior of GCC stock markets and impacts of US oil and financial markets
    Hammoudeh, Shawkat
    Choi, Kyongwook
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2006, 20 (01) : 22 - 44
  • [23] Forex and financial markets dynamics: A case of China and ASEAN
    Akram, Mohammad Uzair
    Malik, Kashif Zaheer
    Imtiaz, Ali
    Aftab, Ammar
    Chen, Maggie
    COGENT ECONOMICS & FINANCE, 2020, 8 (01):
  • [24] Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China
    Jian, Zhihong
    Li, Xupei
    Zhu, Zhican
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 59
  • [25] Granger causality in risk and detection of extreme risk spillover between financial markets
    Hong, Yongmiao
    Liu, Yanhui
    Wang, Shouyang
    JOURNAL OF ECONOMETRICS, 2009, 150 (02) : 271 - 287
  • [26] Quantifying extreme risks in stock markets: A case of former Yugoslavian states
    Zikovic, Sasa
    ZBORNIK RADOVA EKONOMSKOG FAKULTETA U RIJECI-PROCEEDINGS OF RIJEKA FACULTY OF ECONOMICS, 2008, 26 (01): : 41 - 68
  • [27] The bond-stock yield differential as a risk indicator in financial markets
    Consigli, Giorgio
    MacLean, Leonard C.
    Zhao, Yonggan
    Ziemba, William T.
    JOURNAL OF RISK, 2009, 11 (03): : 3 - 24
  • [28] Assessing the extreme risk spillovers to carbon markets from energy markets: evidence from China
    Ruirui Wu
    Zhongfeng Qin
    Environmental Science and Pollution Research, 2023, 30 : 37894 - 37911
  • [29] Assessing the extreme risk spillovers to carbon markets from energy markets: evidence from China
    Wu, Ruirui
    Qin, Zhongfeng
    ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2023, 30 (13) : 37894 - 37911
  • [30] Rural financial markets in China
    Wang, SG
    CHINA JOURNAL, 2005, 53 : 159 - 161
12345