所属栏目:资本市场/金融危机/2024/2024年第01期

Do Exogenous Extreme Risks Drive the Extremal Connectedness in China's Sectoral Stock Markets?
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发布日期:2023年12月06日 上次修订日期:2023年12月06日

摘要

We investigate the dynamic extremal connectedness of sectors within the Chinese stock market conditional on exogenous extreme risk through multivariate extreme value regression. To proxy the exogenous extreme risk, we independently consider market volatility-based measures and policy uncertainty-based measures. We discover that market volatility-based measures have a stronger influence than policy uncertainty-based measures on the extremal connectedness of sectors. The oil volatility index is the most influential on extremal connectedness, and the energy sector plays a direct role in transmitting exogenous extreme risk. Our findings provide new insights into understanding the drivers of systematic and idiosyncratic contagion.
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Lu Yang; Wang Chen Do Exogenous Extreme Risks Drive the Extremal Connectedness in China's Sectoral Stock Markets? (2023年12月06日) https://www.cfrn.com.cn/dzqk/detail/15440

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