A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China |
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| Institution: | 1. Cheung Kong Graduate School of Business, 3/F, Tower 3E, Oriental Plaza, 1 East Chang An Avenue, Beijing, 100738, PR China;2. Dalhousie University, Rowe School of Business, Room 4090, 6100 University Avenue, Halifax, Nova Scotia, B3H 4R2, Canada;3. Shanghai, PR China;1. La Trobe Business School, Department of Economics, Finance and Marketing, La Trobe University, Bundoora, Victoria 3086, Australia;2. University of New Orleans, Economics and Finance, 2000 Lakeshore Drive, 70148 New Orleans, LA, United States;3. North South University, Department of Accounting and Finance, Dhaka, Bangladesh |
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| Abstract: | Risk contagion has attracted increasing research attention in recent years. In this paper, we combined conditional Value at Risk (CVaR), Bayesian quantile regression and Granger causality test to propose a Bayesian CVaR–Granger causality test method, which is an efficient tool in analyzing sources of extreme risks in a financial market. Using this method, we determined the sources of extreme risks in major stock markets in China. |
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