The risk connectedness between international crude oil market and Chinese asset markets: From the perspective of common and idiosyncratic information

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-09-30 DOI:10.1016/j.irfa.2025.104662

Senyuan Yu , Jianfeng Li , Zhensheng Tao , Xiaoyang Yao , Hui Wang

{"title":"The risk connectedness between international crude oil market and Chinese asset markets: From the perspective of common and idiosyncratic information","authors":"Senyuan Yu , Jianfeng Li , Zhensheng Tao , Xiaoyang Yao , Hui Wang","doi":"10.1016/j.irfa.2025.104662","DOIUrl":null,"url":null,"abstract":"<div><div>This paper explores the risk connectedness between the WTI crude oil market and China's brown/green assets from the perspective of common and idiosyncratic information. We employ the Generalized Dynamic Factor Model (GDFM) to decompose market returns into common-factor-driven and idiosyncratic-factor-driven components, then use GARCH family models to estimate Value at Risk (VaR) for these components. Pattern Causality (PC) is applied to test causal relationships, and the TVP-VAR-DY spillover index method measures time-varying spillover characteristics. Empirical results reveal bidirectional causality between the two markets, dominated by positive patterns. The risk linkage between crude oil and brown assets is stronger than with green assets. Both common and idiosyncratic factors drive connectedness: common factors cause linkage fluctuations, while idiosyncratic factors dominate spillover magnitude.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"108 ","pages":"Article 104662"},"PeriodicalIF":9.8000,"publicationDate":"2025-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521925007495","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

This paper explores the risk connectedness between the WTI crude oil market and China's brown/green assets from the perspective of common and idiosyncratic information. We employ the Generalized Dynamic Factor Model (GDFM) to decompose market returns into common-factor-driven and idiosyncratic-factor-driven components, then use GARCH family models to estimate Value at Risk (VaR) for these components. Pattern Causality (PC) is applied to test causal relationships, and the TVP-VAR-DY spillover index method measures time-varying spillover characteristics. Empirical results reveal bidirectional causality between the two markets, dominated by positive patterns. The risk linkage between crude oil and brown assets is stronger than with green assets. Both common and idiosyncratic factors drive connectedness: common factors cause linkage fluctuations, while idiosyncratic factors dominate spillover magnitude.

查看原文本刊更多论文

国际原油市场与中国资产市场的风险连通性：基于共同信息与特殊信息的视角

本文从共同信息和特殊信息的角度探讨了WTI原油市场与中国棕绿资产之间的风险关联性。本文采用广义动态因子模型（GDFM）将市场收益分解为共同因子驱动和特殊因子驱动两部分，并利用GARCH族模型估计这些部分的风险值（VaR）。模式因果关系（PC）用于检验因果关系，TVP-VAR-DY溢出指数方法用于度量时变溢出特征。实证结果揭示了两个市场之间的双向因果关系，以正向模式为主。原油与棕色资产之间的风险关联性强于与绿色资产之间的风险关联性。共同因素和特殊因素共同驱动连通性：共同因素导致联系波动，而特殊因素主导溢出幅度。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.