Publication details

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

Investor logo
Authors

DEEV Oleg LYÓCSA Štefan VÝROST Tomáš

Year of publication 2022
Type Article in Periodical
Magazine / Source FINANCE RESEARCH LETTERS
MU Faculty or unit

Faculty of Economics and Administration

Citation
Web https://www.sciencedirect.com/science/article/pii/S1544612322003762
Doi http://dx.doi.org/10.1016/j.frl.2022.103154
Keywords Spillovers;Evergrande;Partial cross-quantilogram;Chinese stock market;Tail dependence
Attached files
Description 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.
Related projects:

You are running an old browser version. We recommend updating your browser to its latest version.

More info