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A study of systemic risk spillovers in Asian emerging markets and Chinese stock market

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  • Zhongzheng Fang

Abstract

This study examines systemic risk spillover effects between China’s Shanghai Stock Exchange (SSE) and seven Asian emerging markets within the context of increasing global financial integration. Utilizing Quantile Regression and Conditional Value-at-Risk (CoVaR) methodologies, this study provides a new perspective on understanding the asymmetry of systemic risk transmission between China and Asian emerging markets. Based on data from 2000 to 2024, the findings reveal significant spillover patterns, with Korea (KOSPI) showing high sensitivity to SSE risks, Malaysia (KLCI) exerting strong influence, and Thailand (SET) and Taiwan (TWII) emerging as key contributors and receivers of systemic risk. Under extreme market conditions, risk spillovers intensify, positioning SSE as a central hub in regional risk dynamics. These insights underscore the need for robust macroprudential policies and enhanced regional cooperation to mitigate systemic vulnerabilities, contributing to both the theoretical discourse on financial risk and its practical management.

Suggested Citation

  • Zhongzheng Fang, 2025. "A study of systemic risk spillovers in Asian emerging markets and Chinese stock market," PLOS ONE, Public Library of Science, vol. 20(5), pages 1-18, May.
    • Handle: RePEc:plo:pone00:0322381
    DOI: 10.1371/journal.pone.0322381
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    2. Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
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