文献类型：期刊文献

英文题名：Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks

作者：Chen, Zhang-HangJian[1];Li, Sai-Ping[2];Cai, Mei-Ling[1];Zhong, Li-Xin[3];Ren, Fei[1,4]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd, Shanghai 200237, Peoples R China;[2]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[3]Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou 310018, Peoples R China;[4]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2021

卷号：58

外文期刊名：NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

收录：;WOS:【SSCI(收录号:WOS:000701813200003)】；

基金：This work was partially supported by the National Natural Science Foundation of China (Nos. 71790594 and 71871094) , the Humanities and Social Sciences Fund sponsored by Ministry of Education of the People's Republic of China (Nos. 17YJAZH067 and19YJAZH120) , the Fundamental Research Funds for the Central Universities (No. JKN022023004) , and the Social Science Foundation of Zhejiang Province (No.21NDJC098YB) .

语种：英文

外文关键词：Cross-regional risk spillovers; Stock index; Stock index futures; Exogenous shocks

摘要：By integrating the stock and futures markets of mainland China and Hong Kong into the same financial system, we explore the cross-region risk spillovers between the stock market and stock index futures market under the impact of exogenous events. We find evidence of significant risk spillovers between the two stock markets, and confirm that exogenous shocks, including the adjustments of regulatory policies of mainland China and 2019 Hong Kong Protest, can significantly affect the volatility spillover across assets and markets. Our findings can potentially help regulators and investors understand the cross-region risk conduction and assess portfolio risk after exogenous event.