Source-Conditioned Spillovers and Tail Dependence in Belt and Road Equity Markets: Evidence from China Equity and Oil-Market Distress

This paper examines source-conditioned spillovers and tail dependence in Belt and Road Initiative equity markets under China-related equity distress and WTI oil-price-decline distress. We define source-conditioned spillovers as incremental changes in pairwise dependence relative to a median-threshold benchmark, and source-conditioned tail dependence as the nonlinear higher-order component of these changes. Using a DCC-GARCH model with multivariate generalized hyperbolic innovations, we construct a linear co-moment layer and a nonlinear tail-dependence layer for 32 equity markets from 2007 to 2025. The resulting annual country-level exposure measures are then related to macroeconomic, China-linked, and oil-linked characteristics through benchmark fixed-effects and source-matched regressions. The empirical results imply that the linear layer mainly reflects background synchronization, whereas the nonlinear layer captures selective tail-state amplification. SSEC-conditioned exposure is more visible in China-adjacent and regionally linked equity relationships, while WTI-conditioned exposure is more visible among intermediary receiving markets and in nonlinear oil-related episodes. The comparison after 2013 suggests that BRI equity markets became more vulnerable to energy driven tail risk, as WTI distress is more strongly associated with nonlinear downside amplification. SSEC distress mainly increases the common linear exposure channel, indicating broader regional synchronization rather than a persistent rise in nonlinear contagion. The framework provides a financial-stability diagnostic for sustainable-finance resilience by distinguishing routine cross-market synchronization from nonlinear downside exposure relevant to cross-border financing, infrastructure investment, and energy-transition-related capital allocation.