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首页> 外文期刊>International review of economics & finance >The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach
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The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach

机译：MSGARCH-EVT-copula方法从中国股市到东亚主要股市的风险溢出

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摘要

This paper studies the risk spillovers of the Chinese stock market to major East Asian stock markets during turbulent and clam periods. We employ the Markov regime-switching model, the extreme value theory (EVT) and the vine copula function to model their multivariate dependence structures and compute the corresponding conditional Value-at-risk (CoVaR) in direct and indirect ways. In the case of the direct CoVaR, we find some interesting results that downside and upside spillovers are significantly different between the turbulent and calm periods, except for the China-Japan and the China-South Korea for the turbulent period. The evidence on the indirect results indicates the differences between the turbulent and calm periods do exist. The other results indicate the spillovers measured ignore the special nature of the different periods when the whole sample is used to model the dependence structure among the stock markets.
机译：本文研究了在动荡和蛤lam时期中国股票市场对东亚主要股票市场的风险溢出。我们采用马尔可夫政权转换模型，极值理论（EVT）和藤蔓copula函数对它们的多元依赖结构进行建模，并以直接和间接的方式计算相应的条件风险价值（CoVaR）。在直接CoVaR的情况下，我们发现一些有趣的结果，即动荡和平静时期之间的向下和向上溢出显着不同，除了动荡时期的中国-日本和中国-韩国。间接结果的证据表明，湍流和平静期之间确实存在差异。其他结果表明，当整个样本用于对股票市场之间的依存关系模型进行建模时，所测量的溢出效应忽略了不同时期的特殊性质。

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