|
|||||
|
|
Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach |
|
| Institution: | 1. School of Business, University of Leicester, University Road, Leicester LE1 7RH, UK;2. Business School, University of Nottingham, Jubilee Campus, Nottingham NG8 1BB, UK;1. School of Economics & Management, Southwest Jiaotong University, China;2. School of Finance, Yunnan University of Finance and Economics, China;1. School of Economics & Management, Beihang University, Beijing 100191, China;2. Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;3. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China |
| Abstract: | This paper uses a spatial econometrics approach to study the industry risks in China’s stock market. We comprehensively consider the real linkage and information risk transmission channels and analyze the risk spillovers of specific determinants. Our empirical results show the following: 1) The real linkage channel and information channel are both effective transmission channels for driving spillover effects, and the information channel is of the utmost importance. 2) The spillover effects of specific determinants exist and are persistent. The superposition of spillover effects may lead to extreme risk. 3) The transmission channels and spillover effects are asymmetric in different regimes. |
| Keywords: | Spillover effects Specific determinant Transmission channels Dynamic spatial panel data model Industry risks |
| 本文献已被 ScienceDirect 等数据库收录！ | |