Journal of Risk

Risk.net

Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach

Jiusheng Chen

  • The author investigates the risk spillover between the crude oil market and China stock market by using the MES model and Beta-skew-t-EGARCH-EVT model combined with the Copula-CoVaR model.
  • It is argued that there are more extreme returns for the turbulent period than for the calm period.
  • Upside CoVaRs are found to be greater in magnitude compared to the downside CoVaRs.
  • Bidirectional asymmetric risk spillover effects between the crude oil market and the China stock market are observed.

This paper investigates the risk spillover between the crude oil market (West Texas Intermediate and Brent) and the Chinese stock market (Shanghai Stock Exchange) by using the marginal expected shortfall model and Beta-skew-t-exponential generalized autoregressive conditional heteroscedasticity-extreme value theory model combined with the copula-conditional value-at-risk (CoVaR) model covering the period from January 4, 2007 to June 30, 2014. Further, the full data sample is divided into a turbulent period and a calm period to capture the risk spillover effect across different economic scenarios. The results indicate that the upside CoVaRs and the downside CoVaRs are asymmetric over the sample period, and that the upside CoVaRs during the turbulent, calm and complete periods are greater than the downside CoVaRs. The results on marginal expected shortfall and ∆CoVaRs show that there are bidirectional asymmetric risk spillover effects between the crude oil market and the Chinese stock market and that the risk spillover effect from the Chinese stock market to the crude oil market is greater than that of from the crude oil market to Chinese stock market.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: