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Tail risk network of Chinese green-related stocks market

Author

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  • Ye, Wuyi
  • Hu, Chenglong
  • Guo, Ranran

Abstract

This paper explores the tail risk network in the Chinese green-related stock market, by estimating the Copula-MIDAS-LASSO model. The model integrates characteristic factors and improves the model’s ability to capture the tail risk spillover. Additionally, we utilize the MTS network and the threshold network to picture the network in the market. The findings reveal that securities consistently hold central positions in the risk contagion network, with GFS, CUB, and PAI being three key sources of risk contagion. Finally, the subsample analysis demonstrates that the green finance policy and financial crises contribute to increased risk dependence within the market.

Suggested Citation

  • Ye, Wuyi & Hu, Chenglong & Guo, Ranran, 2024. "Tail risk network of Chinese green-related stocks market," Finance Research Letters, Elsevier, vol. 67(PB).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008328
    DOI: 10.1016/j.frl.2024.105802
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    More about this item

    Keywords

    Green finance; Copula-MIDAS-LASSO; Network centrality; Minimum spanning tree; Tail spillover network;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

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