کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7352134 | 1476979 | 2018 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
We studied downside and upside risk spillovers from China to a set of Asian stock markets by computing the downside and upside CoVaR values and assessing spillover effects by testing for significant differences between the CoVaR and VaR values. We found evidence of a positive relationship between China and Asian stock markets, with bivariate dependence structure differed across Asian stock markets. Finally, we also found asymmetries in upside and downside risk spillovers, with higher intensity in downside risk spillovers. Our results, consistent with the increasing economic integration between China and Asian economies in the form of trade links and investment movements, indicate that investors should consider the existence of asymmetric spillover effects from China for downside and upside risk management of international portfolios for these Asian stock markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 25, June 2018, Pages 202-212
Journal: Finance Research Letters - Volume 25, June 2018, Pages 202-212
نویسندگان
Jin Xiaoye,