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Has the Evergrande debt crisis rattled Chinese capital markets? A series of event studies and their implications

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  • Altman, Edward I.
  • Hu, Xiaolu
  • Yu, Jing

Abstract

In response to the global concern of the Evergrande debt crisis, we document several findings of the crisis's contagion effect. First, although most real estate companies have strong financial fundamentals, the high default risk among large firms sends an alarming signal. Second, the spillover effect to peer developers is stronger in the credit market than in the stock market. Finally, the systemic financial risk of the banking sector remains low during the crisis. Overall, while there is a low probability of a wide-ranging financial crisis, a debt crisis in the real estate sector might be on the horizon.

Suggested Citation

  • Altman, Edward I. & Hu, Xiaolu & Yu, Jing, 2022. "Has the Evergrande debt crisis rattled Chinese capital markets? A series of event studies and their implications," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004457
    DOI: 10.1016/j.frl.2022.103247
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    References listed on IDEAS

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    More about this item

    Keywords

    Evergrande; Credit risk; China markets; Event studies;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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