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The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model

Exploring the risk spillover between Chinese and mature stock markets is a promising topic. In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model that combines a state transition mechanism with a weighted mixed-Clayton copula. It is applied to investigate the dynamic...

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Autores principales: Niu, Hongli, Xu, Kunliang, Xiong, Mengyuan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10138163/
https://www.ncbi.nlm.nih.gov/pubmed/37190407
http://dx.doi.org/10.3390/e25040619
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author Niu, Hongli
Xu, Kunliang
Xiong, Mengyuan
author_facet Niu, Hongli
Xu, Kunliang
Xiong, Mengyuan
author_sort Niu, Hongli
collection PubMed
description Exploring the risk spillover between Chinese and mature stock markets is a promising topic. In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model that combines a state transition mechanism with a weighted mixed-Clayton copula. It is applied to investigate the dynamic risk dependence between Chinese and mature stock markets in the Americas, Europe, and Asia–Oceania regions. Additionally, the conditional value at risk (CoVaR) is applied to analyze the risk spillovers between these markets. The empirical results demonstrate that there is mainly a time-varying but stable positive risk dependence structure between Chinese and mature stock markets, where the upside and downside risk correlations are asymmetric. Moreover, the risk contagion primarily spills over from mature stock markets to the Chinese stock market, and the downside effect is stronger. Finally, the risk contagion from Asia–Oceania to China is weaker than that from Europe and the Americas. The study provides insights into the risk association between emerging markets, represented by China, and mature stock markets in major regions. It is significant for investors and risk managers, enabling them to avoid investment risks and prevent risk contagion.
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spelling pubmed-101381632023-04-28 The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model Niu, Hongli Xu, Kunliang Xiong, Mengyuan Entropy (Basel) Article Exploring the risk spillover between Chinese and mature stock markets is a promising topic. In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model that combines a state transition mechanism with a weighted mixed-Clayton copula. It is applied to investigate the dynamic risk dependence between Chinese and mature stock markets in the Americas, Europe, and Asia–Oceania regions. Additionally, the conditional value at risk (CoVaR) is applied to analyze the risk spillovers between these markets. The empirical results demonstrate that there is mainly a time-varying but stable positive risk dependence structure between Chinese and mature stock markets, where the upside and downside risk correlations are asymmetric. Moreover, the risk contagion primarily spills over from mature stock markets to the Chinese stock market, and the downside effect is stronger. Finally, the risk contagion from Asia–Oceania to China is weaker than that from Europe and the Americas. The study provides insights into the risk association between emerging markets, represented by China, and mature stock markets in major regions. It is significant for investors and risk managers, enabling them to avoid investment risks and prevent risk contagion. MDPI 2023-04-06 /pmc/articles/PMC10138163/ /pubmed/37190407 http://dx.doi.org/10.3390/e25040619 Text en © 2023 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Niu, Hongli
Xu, Kunliang
Xiong, Mengyuan
The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model
title The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model
title_full The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model
title_fullStr The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model
title_full_unstemmed The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model
title_short The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model
title_sort risk contagion between chinese and mature stock markets: evidence from a markov-switching mixed-clayton copula model
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10138163/
https://www.ncbi.nlm.nih.gov/pubmed/37190407
http://dx.doi.org/10.3390/e25040619
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