About: Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network
Creator	Wang, Jian Lu, Yang Zhang, Weiping Zhuang, Zhuang, Xintian
Source	Elsevier; PMC
abstract	Abstract This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regression technique, we analyse the tail risk connectedness and find that during market crashes, stock market exposes to more systemic risk and more connectedness. Further, the orthogonal pulse function shows that Herfindahl-Hirschman Index (HHI) of edges has a significant positive effect on systemic risk, but the impact shows a certain lagging feature. Besides, the directional connectedness of sectors shows that systemic risk receivers and transmitters vary across time, and we adopt PageRank index to identify systemically important sector released by utilities and financial sectors. Finally, by block model we find that the tail risk network of Chinese sectors can be divided into four different spillover function blocks. The role of blocks and the spatial spillover transmission path between risk blocks are time-varying. Our results provide useful and positive implications for market participants and policy makers dealing with investment diversification and tracing the paths of risk shock transmission.
has issue date	2020-07-04(xsd:dateTime)
bibo:doi	10.1016/j.najef.2020.101248
has license	els-covid
sha1sum (hex)	736592039c009b8d7558b08bf73355264a0a0f6e
schema:url	https://doi.org/10.1016/j.najef.2020.101248
resource representing a document's title	Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network
has PubMed Central identifier	PMC7341982
resource representing a document's body	covid:736592039c009b8d7558b08bf73355264a0a0f6e#body_text
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