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Sectoral contributions to systemic risk in the Chinese stock market

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  • Wu, Fei

Abstract

This paper investigates the question of how much each sector contributes to systemic risk in the Chinese stock market. Based on two recently developed approaches, namely, Marginal Expected Shortfall (MES) and Component Expected Shortfall (CES), the empirical results demonstrate that weights of sectors matter. Moreover, Financials, Industrials and Energy sectors are found to be the top risk contributors, though their contributions tend to evolve over time. The results have strong implications to both investors and regulators for risk management and regulatory purposes.

Suggested Citation

  • Wu, Fei, 2019. "Sectoral contributions to systemic risk in the Chinese stock market," Finance Research Letters, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306949
    DOI: 10.1016/j.frl.2018.12.009
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    References listed on IDEAS

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    Citations

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    Cited by:

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    6. Duan, Yuejiao & Goodell, John W. & Li, Haoran & Li, Xinming, 2022. "Assessing machine learning for forecasting economic risk: Evidence from an expanded Chinese financial information set," Finance Research Letters, Elsevier, vol. 46(PA).
    7. Fu Qiao & Yan Yan, 2020. "How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of China's stock market during the outbreak of COVID-19," Papers 2007.07487, arXiv.org.
    8. Li, Yueshan & Chen, Shoudong & Goodell, John W. & Yue, Dianmin & Liu, Xutang, 2023. "Sectoral spillovers and systemic risks: Evidence from China," Finance Research Letters, Elsevier, vol. 55(PB).
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    More about this item

    Keywords

    Component expected shortfall; Marginal expected shortfall; Sectoral analysis; Stock market; Systemic risk;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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