Risk contribution of the Chinese stock market to developed markets in the post-crisis period
سهم ریسک از بازار سهام چینی به بازارهای توسعه یافته در دوره پس از بحران-2018
China sped up its progress toward the opening of its stock market in the post-crisis period after 2010. This study aims to investigate the risk contribution of the Chinese stock mar ket to four representative developed markets. The significance and dominance of the risk contribution are tested with the extended Kolmogorov-Smirnov statistic by a bootstrap strategy. The results show a significant risk contribution of China to all the four developed countries. The dominance testing result shows clear regional effect in the risk contribution. The determinants of the risk contribution by macroeconomic variables are also identified in a forward-looking way.
Keywords: Chinese stock market ، Risk contribution ، CoVaR ، Tail risk