IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v58y2022i1p56-69.html
   My bibliography  Save this article

Systemic Risk of China’s Financial Industry during the Spread of the COVID-19 Epidemic and the Breakdown of Crude Oil Negotiation

Author

Listed:
  • Xiaoming Zhang
  • Hegang Zhou
  • Chien-Chiang Lee

Abstract

This research first adopts three indicators to measure the systemic risk of different financial industries in China. Second, we employ the Time Varying Parameter-Stochastic Volatility-Vector Auto Regression (TVP-SV-VAR) model to investigate the time-varying relationship among COVID-19 epidemic, crude oil price, and financial systemic risk. The results herein not only help us grasp the current level of systematic risk in China, but also can assist at improving the early warning risk indicators and enhance the risk management system. Lastly, this research can also help investors to make reasonable asset planning.

Suggested Citation

  • Xiaoming Zhang & Hegang Zhou & Chien-Chiang Lee, 2022. "Systemic Risk of China’s Financial Industry during the Spread of the COVID-19 Epidemic and the Breakdown of Crude Oil Negotiation," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(1), pages 56-69, January.
    • Handle: RePEc:mes:emfitr:v:58:y:2022:i:1:p:56-69
    DOI: 10.1080/1540496X.2021.1968824
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2021.1968824
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2021.1968824?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Umar, Zaghum & Bossman, Ahmed, 2023. "Quantile connectedness between oil price shocks and exchange rates," Resources Policy, Elsevier, vol. 83(C).
    2. Lee, Chi-Chuan & Tang, Huayun & Li, Ding, 2022. "The roles of oil shocks and geopolitical uncertainties on China’s green bond returns," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 494-505.
    3. Qingmin Hao & Jim Huangnan Shen & Chien-Chiang Lee, 2023. "Risk contagion of bank-firm loan network: evidence from China," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 341-361, June.
    4. Omid Farkhondeh Rouz & Hossein Sohrabi Vafa & Arash Sioofy Khoojine & Sajjad Pashay Amiri, 2024. "Interconnectedness of systemic risk in the Chinese economy: the Granger causality and CISS indicator approach," Risk Management, Palgrave Macmillan, vol. 26(2), pages 1-24, May.
    5. Lee, Chien-Chiang & Zhou, Hegang & Xu, Chao & Zhang, Xiaoming, 2023. "Dynamic spillover effects among international crude oil markets from the time-frequency perspective," Resources Policy, Elsevier, vol. 80(C).
    6. Naeem, Muhammad Abubakr & Karim, Sitara & Farid, Saqib & Tiwari, Aviral Kumar, 2022. "Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 548-562.
    7. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:58:y:2022:i:1:p:56-69. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.