{"title":"尾部风险如何在中国和美国股市之间蔓延?基于多层网络的实证研究","authors":"","doi":"10.1016/j.irfa.2024.103515","DOIUrl":null,"url":null,"abstract":"<div><p>Given the significant political and economic frictions between China and the US, which bring high uncertainty to the global economy, it is crucial to understand how these tensions led to tail risk events and potentially destabilize the stock markets. We construct a multilayer network to examine tail risk spillovers between the stock markets of the two countries and find that (i) the value of total connectedness, an index measuring the overall spillover, rises amidst the tensions and declines during reconciliations; (ii) compared to the intralayer effects, the interlayer tail risk spillovers mostly generate in a form of extreme points rather than steady overflows, which implies that interlayer transmissions occur irregularly, i.e., a sudden surges in distressed sectors; and (iii) in terms of sector, the out-strengths are more concentrated in contrast with the in-strengths, which suggests that some sectors may play the role of major transmitters in the interlayer tail risk spillovers. To summarize, we quantify tail risk spillovers via the multilayer networks, which provides evidence on how tail risk spillovers materialize between the Chinese and the US stock markets during different stages of bilateral relations.</p></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5000,"publicationDate":"2024-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"How does tail risk spill over between Chinese and the US stock markets? An empirical study based on multilayer network\",\"authors\":\"\",\"doi\":\"10.1016/j.irfa.2024.103515\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Given the significant political and economic frictions between China and the US, which bring high uncertainty to the global economy, it is crucial to understand how these tensions led to tail risk events and potentially destabilize the stock markets. We construct a multilayer network to examine tail risk spillovers between the stock markets of the two countries and find that (i) the value of total connectedness, an index measuring the overall spillover, rises amidst the tensions and declines during reconciliations; (ii) compared to the intralayer effects, the interlayer tail risk spillovers mostly generate in a form of extreme points rather than steady overflows, which implies that interlayer transmissions occur irregularly, i.e., a sudden surges in distressed sectors; and (iii) in terms of sector, the out-strengths are more concentrated in contrast with the in-strengths, which suggests that some sectors may play the role of major transmitters in the interlayer tail risk spillovers. To summarize, we quantify tail risk spillovers via the multilayer networks, which provides evidence on how tail risk spillovers materialize between the Chinese and the US stock markets during different stages of bilateral relations.</p></div>\",\"PeriodicalId\":48226,\"journal\":{\"name\":\"International Review of Financial Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.5000,\"publicationDate\":\"2024-08-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Financial Analysis\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057521924004472\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924004472","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
How does tail risk spill over between Chinese and the US stock markets? An empirical study based on multilayer network
Given the significant political and economic frictions between China and the US, which bring high uncertainty to the global economy, it is crucial to understand how these tensions led to tail risk events and potentially destabilize the stock markets. We construct a multilayer network to examine tail risk spillovers between the stock markets of the two countries and find that (i) the value of total connectedness, an index measuring the overall spillover, rises amidst the tensions and declines during reconciliations; (ii) compared to the intralayer effects, the interlayer tail risk spillovers mostly generate in a form of extreme points rather than steady overflows, which implies that interlayer transmissions occur irregularly, i.e., a sudden surges in distressed sectors; and (iii) in terms of sector, the out-strengths are more concentrated in contrast with the in-strengths, which suggests that some sectors may play the role of major transmitters in the interlayer tail risk spillovers. To summarize, we quantify tail risk spillovers via the multilayer networks, which provides evidence on how tail risk spillovers materialize between the Chinese and the US stock markets during different stages of bilateral relations.
期刊介绍:
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.