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Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence From a Copula-CoVaR-MODWT Approach

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  • Yaling Chen
  • Qinnan Jiang
  • Zhifeng Dai

Abstract

This paper investigates the systemic risk spillovers from the oil and gold markets to China financial market. Specifically, this paper uses wavelet analysis methods combined with time-varying copula models to calculate the CoVaR to explore the risk tail correlation and the strength of systemic risk spillover effects among oil, gold and China financial market under time-frequency conditions. The empirical results are as follows: First, there is a systemic risk spillover from the oil and gold markets to China financial market with significant time-varying characteristics. Second, changes in oil prices exacerbate risk spillovers from China financial markets, while price volatility in the gold market has a moderating effect on its risk spillovers, with system-wide risk spillovers increasing significantly in times of major economic crisis events. Third, oil market has a greater intensity of systemic risk spillover to China financial market than the gold market. External economic events significantly affect the intensity of risk spillovers from oil to China financial market, and abnormal volatility shocks in internal stock markets significantly affect the intensity of risk spillovers from gold to China financial market more significantly than the impact of external events. Furthermore, in the frequency domain, the oil and gold markets have some lagging effect on the transmission of systemic risks to the China financial market.

Suggested Citation

  • Yaling Chen & Qinnan Jiang & Zhifeng Dai, 2026. "Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence From a Copula-CoVaR-MODWT Approach," Evaluation Review, , vol. 50(3), pages 384-422, June.
    • Handle: RePEc:sae:evarev:v:50:y:2026:i:3:p:384-422
    DOI: 10.1177/0193841X251394455
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