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

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DEEV Oleg LYÓCSA Štefan VÝROST Tomáš

Rok publikování 2022
Druh Článek v odborném periodiku
Časopis / Zdroj Finance Research Letters
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://www.sciencedirect.com/science/article/pii/S1544612322003762
Doi http://dx.doi.org/10.1016/j.frl.2022.103154
Klíčová slova Spillovers;Evergrande;Partial cross-quantilogram;Chinese stock market;Tail dependence
Přiložené soubory
Popis 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.
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