A Study on Regional Financial Risks Based on CoCVaR Model
For the purpose of accurate measurement of regional systemic financial risks and prevention of regional economic turmoil, this paper proposes a new measure called the CoCVaR model, based on the tail mean loss, which is applied to measure the impact of stock returns of each listed company on the over...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/2050169 |
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| _version_ | 1841524575696846848 |
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| author | Mingxin Li Jun Tang |
| author_facet | Mingxin Li Jun Tang |
| author_sort | Mingxin Li |
| collection | DOAJ |
| description | For the purpose of accurate measurement of regional systemic financial risks and prevention of regional economic turmoil, this paper proposes a new measure called the CoCVaR model, based on the tail mean loss, which is applied to measure the impact of stock returns of each listed company on the overall stock returns in Guangdong Province, China, from January 2010 to December 2020. It is found that there are significant CoVaR and CoCVaR for real estate, finance, utilities, and energy companies, while the risk spillover to the real economy market in Guangdong Province is more significant when companies in these industries are in extreme situations. There are insignificant CoCVaR for daily consumption, information technology, and health care. The risk spillover to the real economy market in Guangdong Province is smaller when companies in these industries are in crisis. |
| format | Article |
| id | doaj-art-c92afa5b616c4c278cd5692b7fdfcbad |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-c92afa5b616c4c278cd5692b7fdfcbad2025-02-03T05:52:56ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2021-01-01202110.1155/2021/20501692050169A Study on Regional Financial Risks Based on CoCVaR ModelMingxin Li0Jun Tang1Business School, Sun Yat-Sen University, Guangzhou 510275, ChinaCollege of Science, Inner Mongolia University of Science and Technology, Baotou 014010, ChinaFor the purpose of accurate measurement of regional systemic financial risks and prevention of regional economic turmoil, this paper proposes a new measure called the CoCVaR model, based on the tail mean loss, which is applied to measure the impact of stock returns of each listed company on the overall stock returns in Guangdong Province, China, from January 2010 to December 2020. It is found that there are significant CoVaR and CoCVaR for real estate, finance, utilities, and energy companies, while the risk spillover to the real economy market in Guangdong Province is more significant when companies in these industries are in extreme situations. There are insignificant CoCVaR for daily consumption, information technology, and health care. The risk spillover to the real economy market in Guangdong Province is smaller when companies in these industries are in crisis.http://dx.doi.org/10.1155/2021/2050169 |
| spellingShingle | Mingxin Li Jun Tang A Study on Regional Financial Risks Based on CoCVaR Model Discrete Dynamics in Nature and Society |
| title | A Study on Regional Financial Risks Based on CoCVaR Model |
| title_full | A Study on Regional Financial Risks Based on CoCVaR Model |
| title_fullStr | A Study on Regional Financial Risks Based on CoCVaR Model |
| title_full_unstemmed | A Study on Regional Financial Risks Based on CoCVaR Model |
| title_short | A Study on Regional Financial Risks Based on CoCVaR Model |
| title_sort | study on regional financial risks based on cocvar model |
| url | http://dx.doi.org/10.1155/2021/2050169 |
| work_keys_str_mv | AT mingxinli astudyonregionalfinancialrisksbasedoncocvarmodel AT juntang astudyonregionalfinancialrisksbasedoncocvarmodel AT mingxinli studyonregionalfinancialrisksbasedoncocvarmodel AT juntang studyonregionalfinancialrisksbasedoncocvarmodel |