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]; Jiang, Zhi-Qiang[1]; Ma, Jun-Chao[1]; Wang, Gang-Jin[2]; Zhou, Wei-Xing[1]

机构：[1] School of Business and Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China; [2] Business School, Center for Finance and Investment Management, Hunan University, Changsha, 410082, China

年份：2020

外文期刊名：arXiv

收录：EI(收录号：20200170283)

语种：英文

外文关键词：Financial markets - Risk assessment

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 try 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. It is found that 17 sectors (mechanical equipment, electrical equipment, utilities, and so on) are risk transmitters and 11 sectors (national defence, bank, non-bank finance, and so on) are risk takers during the whole period. During the periods with the extreme risk events (the global financial crisis, the Chinese interbank liquidity crisis, the Chinese stock market plunge, and the China-US trade war), we observe that the connectedness measures significantly increase and the financial sectors play a buffer role in stabilizing the economic system. The robust tests suggest that our results are not sensitive to the changes of model parameters. Our results not only uncover the spillover effects within the Chinese sectors, but also highlight the deep understanding of the risk contagion patterns in the Chinese stock markets. Copyright ? 2020, The Authors. All rights reserved.