所属栏目:资本市场/金融危机/2024/2024年第01期

Analysis of Tail Risk Contagion Among Industry Sectors in the Chinese Stock Market During the Covid-19 Pandemic
认领作者 认领作者管理权限
发布日期:2023年12月04日 上次修订日期:2023年12月04日

摘要

The COVID-19 pandemic has inflicted substantial impacts on global financial markets and the economy. This study explores the impact of two pandemic outbreaks in China on its stock market industries. It employs the Conditional Autoregressive Value at Risk (CAViaR) model to compute tail risks across 16 selected industry sectors. Additionally, risk correlation networks are constructed to illustrate the risk correlations among industry sectors during different phases of the two outbreaks. Furthermore, risk contagion networks are built based on the Granger causality test to examine the similarities and differences in the contagion mechanisms between the two outbreaks. The findings of this study show that (i) the two outbreaks of COVID-19 have resulted in tail risks for most industries in the Chinese stock market. (ii) The risk correlation network became more compact because of both outbreaks. The impact of the second outbreak on the network was less severe than that of the first outbreak. (iii) During the first outbreak of COVID-19, the financial industry was the primary source of risk output; during the second outbreak, the concentrated outbreak in Shanghai led the industries closely related to the city's economy and trade to become the most significant risk industries. These findings have practical implications for researchers and decision-makers in terms of risk contagion among stock market industries under major public emergencies.
展开

JunFeng Wu; Chao Zhang; Yun Chen Analysis of Tail Risk Contagion Among Industry Sectors in the Chinese Stock Market During the Covid-19 Pandemic (2023年12月04日) https://www.cfrn.com.cn/dzqk/detail/15433

选择要认领的作者1
身份验证1
确认
取消