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• W3205533401 abstract "This study attempts to investigate the interdependence and risk spillover effects between China and ASEAN-6 stock markets by using the Copula-TV-GARCH-CoVaR model and the MES model covering the period from January 04, 2010 to April 30, 2021. The results indicate that these stock markets, except the Vietnam stock market, experience a dependency structure. The pair of China and Singapore exhibited the highest dependence structure, whereas Vietnam was least likely to have dependence structures with China stock market. Upside and downside CoVaRs are symmetric and display similar temporal dynamics throughout the sample period for all the series. Moreover, the values of upside CoVaRs are systematically above the upside VaRs for all markets in the sample periods, while the values of downside CoVaRs are systematically below the downside VaRs. The MES and ΔCoVaRs are significantly positive and varied from one market to another, which indicates that there are bidirectional asymmetric risk spillover effects between China and the ASEAN-6 stock markets. Furthermore, the pairs of risk spillover between China and ASEAN stock markets identified using MES and ΔCoVaR may not be identical. Our results indicate that international portfolio managers and policymakers should consider the existence of asymmetric risk spillover effects between China and the ASEAN countries." @default.
• W3205533401 created "2021-10-25" @default.
• W3205533401 creator A5005119981 @default.
• W3205533401 creator A5077136627 @default.
• W3205533401 date "2021-01-01" @default.
• W3205533401 modified "2023-10-18" @default.
• W3205533401 title "Asymmetric Risk Spillovers Between China and ASEAN Stock Markets" @default.
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• W3205533401 doi "https://doi.org/10.1109/access.2021.3119932" @default.
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