文献类型：期刊文献

英文题名：Uncertainty and financial market resilience: Evidence from China

作者：Wei, Si-Yao[1,2]; Jiang, Kun-Liang[3]; Zhou, Wei-Xing[1,2,4]

机构：[1] School of Business, East China University of Science and Technology, Shanghai, 200237, China; [2] Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China; [3] School of Economics and Management, Southwest University of Science and Technology, Mianyang, 621010, China; [4] School of Mathematics, East China University of Science and Technology, Shanghai, 200237, China

年份：2025

外文期刊名：arXiv

收录：EI(收录号：20240413736)

语种：英文

外文关键词：Commerce - Electronic trading - Financial markets - Risk assessment - Risk management - Uncertainty analysis

摘要：Financial market resilience reflects the ability of a financial market to withstand external shocks and to recover from them, while its measurement has yet to be standardized. Accordingly, this paper quantifies the adaptability and recoverability of China’s total financial market and five key sub-markets as both proxy indicators of their resilience. The results highlight the event-driven nature of China’s financial market resilience and reveal a strong correlation between the two indicators, which is more pronounced in the stock and bond markets. Using the Diebold-Yilmaz connectedness approach, we further examine volatility spillovers among resilience of sub-markets and identify the foreign exchange market as a major transmitter of spillovers, whereas the stock and bulk commodity markets primarily act as net recipients of spillovers. Moreover, we analyze the impacts of five China-related uncertainties on financial market resilience. Overall, geopolitical risks, economic and trade policy uncertainty, and U.S.-China tensions exert significant negative impacts on total market resilience, while the effect of climate policy uncertainty remains less pronounced. Importantly, the impacts of different uncertainties exhibit heterogeneity across resilience of sub-markets. Our findings not only enrich the resilience measurement of financial market but also provide new evidence to inform targeted risk management and policy design aimed at strengthening financial system’s resilience. Copyright ? 2025, The Authors. All rights reserved.