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Tail risk spillovers between Chinese USD-denominated bond market and Chinese stock market from a frequency-domain perspective

Author

Listed:
  • Li, Zhaodong
  • Wang, Xin
  • Wang, Xinyu
  • Zhou, Yang
  • Lu, Yanling

Abstract

This paper explores the tail risk spillovers between Chinese USD-denominated bond market and Chinese stock market across three time periods. We uncover that: (i) the tail risk spillovers are stronger in the long-term than in the short- and medium-term; compared with Chinese USD-denominated real estate bond, the financial bond transmits more tail risk in the short-term, while the opposite is true in the medium- and long-term; (ii) among all periods, the tail risk spillovers are consistently larger during the major event of Large-scale Credit Defaults by Chinese Real Estate Enterprises than during COVID-19 or RMB Depreciation; and (iii) in contrast to the tail risk spillovers from Chinese stock market to Chinese USD-denominated bond market, the reverse spillovers exhibit a greater systemic impact.

Suggested Citation

  • Li, Zhaodong & Wang, Xin & Wang, Xinyu & Zhou, Yang & Lu, Yanling, 2026. "Tail risk spillovers between Chinese USD-denominated bond market and Chinese stock market from a frequency-domain perspective," Finance Research Letters, Elsevier, vol. 96(C).
    • Handle: RePEc:eee:finlet:v:96:y:2026:i:c:s1544612326002692
    DOI: 10.1016/j.frl.2026.109739
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    Keywords

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    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises

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