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Dynamic Spillover Effects Among China’s Energy, Real Estate, and Stock Markets: Evidence from Extreme Events

Author

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  • Fusheng Xie

    (Department of Fintech, Shanghai Normal University Tianhua College, Shengxin North Road Campus, Shanghai 201815, China)

  • Jingbo Wang

    (Business Analysis, The University of Sydney Business School, Darlington Campus, Sydney 2006, Australia)

  • Chunzi Wang

    (Department of Fintech, Shanghai Normal University Tianhua College, Shengxin North Road Campus, Shanghai 201815, China)

Abstract

This paper employs a Time-Varying Parameter Vector Autoregression Directional–Spillover (TVP-VAR-DY) model to investigate the dynamic spillover effects among China’s energy, real estate, and stock markets from 2013 to 2023, with a focus on the impact of extreme events. The findings show that the total conditional spillover index (TCI) typically remains below 40% in the absence of extreme events, but significantly increases during such events, reaching 51.09% during the 2015 stock market crisis and nearing 60% during the COVID-19 pandemic in 2020. Specifically, the oil and gas market exhibited a net spillover index of 4.61%, emerging as a major source of risk transmission. In contrast, the real estate market, which had a net spillover index of −9.38%, became a net risk absorber. The net spillover index indicates that the risk transmission role of different markets towards other markets is dynamically changing over time and is closely related to significant global or domestic economic events. These results indicate that extreme events not only directly impact specific markets but also rapidly propagate risks through complex inter-market linkages, exacerbating systemic risks. Therefore, it is recommended to enhance market monitoring, improve transparency, and optimize risk management strategies to cope with uncertainties in the global economy and financial markets.

Suggested Citation

  • Fusheng Xie & Jingbo Wang & Chunzi Wang, 2025. "Dynamic Spillover Effects Among China’s Energy, Real Estate, and Stock Markets: Evidence from Extreme Events," IJFS, MDPI, vol. 13(2), pages 1-21, June.
    • Handle: RePEc:gam:jijfss:v:13:y:2025:i:2:p:97-:d:1670155
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    References listed on IDEAS

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    1. Koop, Gary & Korobilis, Dimitris, 2013. "Large time-varying parameter VARs," Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
    2. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
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