Risk contagion between commodity and China's stock markets under the impact of major events

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-03-16 DOI:10.1016/j.frl.2025.107212

Shichao Hu , Jiaying Luo , Ganlin Pu , Shengxi Xue , Xueping Wang

引用次数: 0

Abstract

We explore the risk contagion between commodity and stock markets under the influence of different major events by constructing the R-Vine-Copula model combined with topology methods. The results indicate that cross-market risk contagion is significantly amplified during major events, with international crude oil and US stock markets primarily driving the risk spillover. Meanwhile, China's stock market acts as a net risk recipient. Besides, both total and directional risk spillover indices increase significantly in extreme states, with an asymmetric effect at the upper and lower tails.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance