Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach

Jian Zhihong; Wu Shuai; Zhu Zhican

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Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach

机译：中国股票市场与指数期货市场之间的非对称极端风险溢出：基于MV-CAViaR的日内CoVaR方法

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This paper proposes a predictive CoVaR measure to analyze asynchronous risk spillovers between the Chinese stock and futures market. We jointly model the intraday CoVaR dynamics using an extended MV-CAViaR model. The results show the presence of asymmetric spillovers under different market states, different trading rules, and different confidence levels. Specifically, there exist significant downside spillovers and insignificant upside spillovers. Moreover, the futures (stock) market becomes dominant in risk transmission during bearish (bullish) market periods. Furthermore, high margin requirements would weaken the spillover effects of the futures market, but it would also strengthen the spillover effects of the stock market.

机译：本文提出了一种预测性CoVaR度量，以分析中国股票和期货市场之间的异步风险溢出。我们使用扩展的MV-CAViaR模型共同为日间CoVaR动态建模。结果表明，在不同的市场状态，不同的交易规则和不同的置信度下，存在不对称溢出效应。具体而言，存在明显的下行溢出和无关紧要的上行溢出。此外，在看跌（看涨）市场期间，期货（股票）市场在风险传递中占主导地位。此外，高的保证金要求将削弱期货市场的溢出效应，但也将增强股票市场的溢出效应。

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来源
《Emerging markets review》 |2018年第12期|98-113|共16页
作者
Jian Zhihong; Wu Shuai; Zhu Zhican;
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作者单位

Huazhong Univ Sci & Technol, Sch Econ, 1037 Luoyu Rd, Wuhan, Hubei, Peoples R China;

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原文格式 PDF
正文语种 eng
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关键词
Intraday CoVaR; MV-CAViaR; Asymmetric risk spillovers; Spot stock and index futures markets;

机译：盘中CoVaR;MV-CAViaR;风险不对称溢出;现货和指数期货市场;

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机译：能源市场中的不确定性和极端风险溢出：基于时变的基于copula的CoVaR方法
2. The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach [J] . Xiao Yang International review of economics & finance . 2020,第Jana期

机译：MSGARCH-EVT-copula方法从中国股市到东亚主要股市的风险溢出
3. Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach [J] . Hou Yang, Li Steven, Wen Fenghua Energy economics . 2019,第Sepa期

机译：基于DCC-GARCH模型和半非参数方法的中国燃油与股指期货市场之间的时变波动溢出
4. EXTREME RISK SPILLOVER BETWEEN CHINESE STOCK MARKETS AND INTERNATIONAL STOCK MARKETS [C] . Siwei Cheng, Yanhui Liu, Shouyang Wang, The Fourth International Conference on Systems Science and Systems Engineering (ICSSSE'03); Nov 25-28, 2003; Hong Kong SAR, China . 2003

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5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective [O] . Xiong Xiong, Ding Nan, Yang Yang, -1

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7. Study on the Extreme Risk Spillover between China and World Stock Market after China’s Share Structure Reform [O] . Liangyu Wang 2014

机译：中国股市改革后中国与世界股市极端风险溢出研究

Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach

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