Over-expected shocks and financial market security: evidence from China's markets

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage102194-14en_US
dc.citation.spage102194-1
dc.citation.volumeNumber68
dc.contributor.authorYueshan, L.
dc.contributor.authorShoudong, C.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorLu, W.
dc.date.accessioned2024-03-13T11:56:13Z
dc.date.available2024-03-13T11:56:13Z
dc.date.issued2023-11-28
dc.departmentDepartment of Management
dc.description.abstractBased on the quantile connectedness method, we investigate China's financial market's structural characteristics under varying shock scales. Our results reveal an asymmetric U-shaped pattern of risk spillovers within China’s financial market under different shock magnitudes. The measures of relative intensity and relative tail dependence indicators show that the risk spillover is much larger in the right tail than in the intermediate and conditional mean states. Moreover, different financial sub-markets exhibit time-varying heterogeneity when facing over-expected shocks. The elasticity of risk-shock is greater in the money and foreign exchange markets. The commodity market tends to take on risk, but becomes a significant source of risk spillover during over-expected shocks. These findings offer policymakers valuable insights to comprehensively evaluate risks and effectively formulate policies.
dc.description.provenanceMade available in DSpace on 2024-03-13T11:56:13Z (GMT). No. of bitstreams: 1 Over-expected_shocks_and_financial_market_security_Evidence_from_China's_markets.pdf: 3289482 bytes, checksum: d834a45e4529f2bcc3cb884537ab10a7 (MD5) Previous issue date: 2023-11-25en
dc.identifier.doi10.1016/j.ribaf.2023.102194
dc.identifier.issn0275-5319
dc.identifier.urihttps://hdl.handle.net/11693/114691
dc.language.isoen
dc.publisherElsevier Inc.
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.ribaf.2023.102194
dc.rightsCC BY 4.0 DEED (Attribution 4.0 International)
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.source.titleResearch in International Business and Finance
dc.subjectFinancial market security
dc.subjectOver-expected shock
dc.subjectQuantile connectedness
dc.subjectRisk spillover
dc.titleOver-expected shocks and financial market security: evidence from China's markets
dc.typeArticle

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