Causal interactions and financial contagion among the BRICS stock markets under rare events: a Liang causality analysis

IF 2.7 4区 管理学 Q2 BUSINESS
Xunfa Lu, Jingjing Sun, Guo Wei, Ching-Ter Chang
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Abstract

PurposeThe purpose of this paper is to investigate dynamics of causal interactions and financial risk contagion among BRICS stock markets under rare events.Design/methodology/approachTwo methods are adopted: The new causal inference technique, namely, the Liang causality analysis based on information flow theory and the dynamic causal index (DCI) are used to measure the financial risk contagion.FindingsThe causal relationships among the BRICS stock markets estimated by the Liang causality analysis are significantly stronger in the mid-periods of rare events than in the pre- and post-periods. Moreover, different rare events have heterogeneous effects on the causal relationships. Notably, under rare events, there is almost no significant Liang's causality between the Chinese and other four stock markets, except for a few moments, indicating that the former can provide a relatively safe haven within the BRICS. According to the DCIs, the causal linkages have significantly increased during rare events, implying that their connectivity becomes stronger under extreme conditions.Practical implicationsThe obtained results not only provide important implications for investors to reasonably allocate regional financial assets, but also yield some suggestions for policymakers and financial regulators in effective supervision, especially in extreme environments.Originality/valueThis paper uses the Liang causality analysis to construct the causal networks among BRICS stock indices and characterize their causal linkages. Furthermore, the DCI derived from the causal networks is applied to measure the financial risk contagion of the BRICS countries under three rare events.
罕见事件下金砖国家股市的因果互动与金融传染——梁因果分析
目的研究罕见事件下金砖国家股市之间的因果互动和金融风险传染的动态。设计/方法论/方法采用两种方法:采用新的因果推断技术,即基于信息流理论的梁因果分析和动态因果指数(DCI)来衡量金融风险传染。结果梁因果分析估计的金砖国家股市之间的因果关系在罕见事件中期明显强于前后期。此外,不同的罕见事件对因果关系具有异质性影响。值得注意的是,在极少数情况下,除了少数时刻之外,梁在中国和其他四个股市之间几乎没有显著的因果关系,这表明前者可以在金砖国家内部提供一个相对安全的避风港。根据DCI,在罕见事件中,因果关系显著增加,这意味着在极端条件下,它们的联系变得更强。实践启示所得结果不仅为投资者合理配置区域金融资产提供了重要启示,也为决策者和金融监管机构在有效监管方面,特别是在极端环境下提供了一些建议。独创性/价值本文利用梁因果关系分析构建了金砖国家股指之间的因果网络,并刻画了它们之间的因果关系。此外,将因果网络的DCI应用于衡量金砖国家在三种罕见事件下的金融风险传染。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
5.90
自引率
14.80%
发文量
206
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