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Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data

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  • Zhou, Dong-hai
  • Liu, Xiao-xing
  • Tang, Chun
  • Yang, Guang-yi

Abstract

In this paper, a framework of analyzing risk spillovers between stock sectors is proposed based on the high-frequency data sampled for 5 min. We calculate a weighted directed network through the TVP-VAR model to analyze the time-varying risk spillovers between stock sectors with “different sources and different order moments”. The results show jumps in the realized volatility of five stock sectors during risk events. The static total volatility spillover index of China's stock sector exceeds 70%, which indicates that the risk of Chinese stock sector is high. In addition, volatility spillovers between sectors are asymmetric and time-varying, with “bad” volatility spillovers dominating. After 2019, the sensitivity difference of the overall stock sector to negative news and positive news shocks has a decreasing trend. The sector spillovers of the volatility, skewness and kurtosis are strengthened in the recession period and weakened in the boom period of stock market. Both the industry and utility sectors—particularly the industry sector—are the main net contributors of risk spillovers of volatility, skewness and kurtosis, while the real estate sector acts as the net receiver of risk spillovers. In the future, it is necessary to be alert to risk spillovers from the integrated sector.

Suggested Citation

  • Zhou, Dong-hai & Liu, Xiao-xing & Tang, Chun & Yang, Guang-yi, 2023. "Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054
    DOI: 10.1016/j.najef.2022.101870
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    More about this item

    Keywords

    Chinese stock market; TVP-VAR spillovers; Good; And; Bad; Volatility; Higher-order moment risk;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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