Financial contagion measurement between nonlinear inter-dependent markets: Detecting the contagion effects of Chinese stock market crash in 2015 on the world’s important economies

被引：0

作者：

Yuan Y. ^{[1
]}

Wang H. ^{[1
]}

Zhuang X. ^{[1
]}

机构：

[1] School of Business Administration, Northeastern University, Shenyang

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2020年 / 40卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Extreme value theory (EVT); Financial contagion; Time delayed detrended cross-correlation analysis; Time-varying Clayton Copula;

D O I：

10.12011/1000-6788-2018-1688-14

中图分类号：

学科分类号：

摘要：

Considering the complex interdependence characteristics such as nonlinearity, tail extreme dependence and time-varying pattern between real financial markets, this paper quantitatively studies the financial contagion effects of Chinese stock market crash in June 2015 on Japanese stock market, U. S. stock market and South Korean stock market from the perspectives of the contagious existence, contagious intensity and contagious direction. Firstly, combining the extreme value theory (EVT) with the timevarying Clayton Copula function, we construct a time-varying Clayton Copula-EVT model to examine lower tail extreme value dynamic dependence. And an additional statistical test helps us verify that there is financial contagion effect between Chinese stock market and Japanese stock market as well as between Chinese stock market and U. S. stock market, however, there is no contagion effect between Chinese stock market and South Korean stock market. Furthmore, the financial contagious intensities are considered between Chinese stock market and Japanese stock market, U. S. stock market respectively. It is found that the contagious intensities are stronger between Chinese stock market and Japanese stock market, U. S. stock market respectively. In addition, the contagious intensity between Chinese stock market and U. S. stock market is much stronger than that between Chinese stock market and Japanese stock market. Finally, we investigate the risk contagious directions between Chinese stock market and Japanese stock market, U. S. stock market respectively using the time-delayed detrended cross-correlation analysis. It is shown that the directions of risk transmission are changed after the breakout of Chinese stock market crash, and the directions of risk contagion are in general from Chinese stock market to Japanese stock market and U. S. stock market. These results can help us to get a better understanding of the nonlinear dependence mechanism of financial risk contagion. © 2020, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.

引用

页码：545 / 558

页数：13

共 37 条

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