The Role of the Chinese Stock Market in the Asia-Pacific Region:A Risk Spillover Perspective Based on Oil Price Shocks
Research on the impact of international oil price volatility on the stock market has been of great interest,but the study of risk spillover effects on the Asia-Pacific and Chinese stock markets has yet to be expanded.Given the different types of shocks,this paper decomposes daily-frequency oil price volatility into supply shocks,demand shocks,and risk shocks,and examines the impacts and risk spillovers of the three types of shocks on the Asia-Pacific and Chinese stock markets based on a benchmark regression model with a dynamic GARCH-Copula-CoVaR model.The regression results show that the increase in oil prices caused by demand and risk shocks significantly increases the aver-age return of stock markets in both regions,while supply shocks have almost no effect on this.From a risk spillover perspective,the Chinese stock market mainly plays the role of passive recipient of risk contagion in the Asia-Pacific re-gion:from the perspective of demand shocks,the Chinese stock market is more susceptible,showing a net risk spill-over into the role;while in terms of risk shocks,China's stock market is not a source of overall volatility linking Asia-Pacific equities,with a more independent role.Combining the upside and downside risk perspectives reveals that the upside risk of the stock markets in both regions is always significantly larger than the downside risk,showing a clear asymmetric feature.However,the volatility in the value-at-risk of Chinese equities has been more dramatic than that of Asia-Pacific equities.
oil-price structural shocksnonlinear interdependent structurerisk spillover effectAsia-Pacific region
万方数据
维普
