文献类型：期刊文献

英文题名：Sector connectedness in the Chinese stock markets

作者：Shen, Ying-Ying[1,2];Jiang, Zhi-Qiang[1,2];Ma, Jun-Chao[1,2];Wang, Gang-Jin[3,4];Zhou, Wei-Xing[1,2]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Hunan Univ, Sch Business, Changsha 410082, Peoples R China;[4]Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Peoples R China

年份：2022

卷号：62

期号：2

起止页码：825

外文期刊名：EMPIRICAL ECONOMICS

收录：;WOS:【SSCI(收录号:WOS:000641219300002)】；

基金：This work was partly supported by the National Natural Science Foundation of China (U1811462, 71532009, 91746108, 71871088), the Shanghai Philosophy and Social Science Fund Project (2017BJB006), the Program of Shanghai Young Top-notch Talent (2018), the Shanghai Outstanding Academic Leaders Plan, and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Network connectedness; Volatility spillovers; Financial networks; Stock market sectors; Connectedness indexes; G14; C51; C52

摘要：Uncovering the risk-transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we aim to uncover the risk spreading channels by means of volatility spillovers within the Chinese sectors using stock market data. By applying the generalized variance decomposition framework based on the VAR model and the rolling window approach, a set of connectedness matrices is obtained to reveal the overall and dynamic spillovers within sectors. We find that 17 sectors (mechanical equipment, electrical equipment, utilities, and so on) are risk transmitters and 11 sectors (national defense, bank, non-bank finance, and so on) are risk takers during the whole period. Under the extreme risk events (i.e., the global financial crisis, the Chinese interbank liquidity crisis, the Chinese stock market crash, and the China-US trade war), the connectedness measures significantly increase and the financial sectors play a buffer role in stabilizing the economic system. Our results are robust to changes of the model parameters. Our study not only uncovers the spillover effects within the Chinese sectors, but also highlights the deep understanding of the risk contagion patterns in the Chinese stock markets.