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Risk contagion between commodity and China's stock markets under the impact of major events

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  • Hu, Shichao
  • Luo, Jiaying
  • Pu, Ganlin
  • Xue, Shengxi
  • Wang, Xueping

Abstract

We explore the risk contagion between commodity and stock markets under the influence of different major events by constructing the R-Vine-Copula model combined with topology methods. The results indicate that cross-market risk contagion is significantly amplified during major events, with international crude oil and US stock markets primarily driving the risk spillover. Meanwhile, China's stock market acts as a net risk recipient. Besides, both total and directional risk spillover indices increase significantly in extreme states, with an asymmetric effect at the upper and lower tails.

Suggested Citation

  • Hu, Shichao & Luo, Jiaying & Pu, Ganlin & Xue, Shengxi & Wang, Xueping, 2025. "Risk contagion between commodity and China's stock markets under the impact of major events," Finance Research Letters, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004751
    DOI: 10.1016/j.frl.2025.107212
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