The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande

被引：6

作者：

Deev, Oleg ^{[1
]}

Lyocsa, Stefan ^{[1
,2
,3
]}

Vyrost, Tomas ^{[1
,4
,5
]}

机构：

[1] Masaryk Univ, Inst Financial Complex Syst, Lipova 41a, Brno, Czech Republic

[2] Slovak Acad Sci, Inst Econ Res, Sancova 56, Bratislava, Slovakia

[3] Univ Presov, Fac Management & Business, Konstantinova 16, Presov, Slovakia

[4] Tech Univ Kosice, Fac Econ, Nemcovej 32, Kosice 04001, Slovakia

[5] Univ Econ Bratislava, Fac Commerce, Dolnozemska Cesta 1, Bratislava 85235, Slovakia

来源：

FINANCE RESEARCH LETTERS | 2022年 / 49卷

关键词：

Spillovers; Evergrande; Partial cross-quantilogram; Chinese stock market; Tail dependence; A-SHARES MARKET; DEPENDENCE; INDUSTRY;

D O I：

10.1016/j.frl.2022.103154

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We estimate and explain the time-varying left-tail dependence between the returns of the China Evergrande Group, a prominent real estate developer in financial distress, and 275 liquid shares traded on major Chinese stock markets. Our sample starts on 15th October 2015, and ends on 29th April 2022. The analysis reveals that the most exposed were shares of larger corporations (in terms of market capitalization) and those in the real estate and utilities sectors. On the other hand, A-shares and shares in the information technology, health care, or even consumer sectors tend to be less exposed.

引用

页数：11

共 28 条

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