The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F22%3A00129121" target="_blank" >RIV/00216224:14560/22:00129121 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612322003762" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612322003762</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2022.103154" target="_blank" >10.1016/j.frl.2022.103154</a>

Result language
angličtina
Original language name
The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande
Original language description
We estimate and explain the time-varying left-tail dependence between the returns of the China Evergrande Group, a prominent real estate developer in financial distress, and 275 liquid shares traded on major Chinese stock markets. Our sample starts on 15th October 2015, and ends on 29th April 2022. The analysis reveals that the most exposed were shares of larger corporations (in terms of market capitalization) and those in the real estate and utilities sectors. On the other hand, A-shares and shares in the information technology, health care, or even consumer sectors tend to be less exposed.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA20-11769S" target="_blank" >GA20-11769S: Financial Networks: Examining Financial Markets Linkages using Network Approach</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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