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Is the Evergrande crisis spilling beyond China?

Author

Listed:
  • Ahmed, Shamima
  • Banerjee, Ameet Kumar
  • James, Wendy
  • Moussa, Faten

Abstract

This study investigates whether Evergrande transmits shocks to regional and global equity markets using the vector autoregressive (VAR), asymmetric dynamic conditional correlation (ADCC), and exponential generalised autoregressive conditional heteroskedasticity (EGARCH) models. The results show that Evergrande has caused notable and enduring shocks to both domestic and foreign equities markets. The spillover test further supports the idea that the Evergrande crisis has spread to important markets. The findings have practical implications for regulators, sovereign wealth managers, institutional and retail investors, and policymakers trying to come up with ways to deal with external shocks.

Suggested Citation

  • Ahmed, Shamima & Banerjee, Ameet Kumar & James, Wendy & Moussa, Faten, 2024. "Is the Evergrande crisis spilling beyond China?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    • Handle: RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002064
    DOI: 10.1016/j.ribaf.2023.102080
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    More about this item

    Keywords

    Evergrande; Financial contagion; Real estate; Spillovers;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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