Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors

doi:10.1109/TCSS.2021.3134487

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	Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors
	Li, Jingyu 1; Cheng, Lu 1; Zheng, Xiaolong 2,3; Wang, Fei-Yue 2,3
刊名	IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS
	2023-02-01
卷号	10 期号:1 页码:269-284
关键词	COVID-19 financial and economic system network analysis stock volatility spillover variational mode decomposition (VMD)
ISSN号	2329-924X
DOI	10.1109/TCSS.2021.3134487
通讯作者	Zheng, Xiaolong(xiaolong.zheng@ia.ac.cn)
英文摘要	By regarding the Chinese financial and economic sectors as a system, this article studies the stock volatility spillover in the system and explores its effects on the overall performance of the macroeconomy in China. The recent outbreak of COVID-19, U.S.-China trade friction, and three historical financial turbulences are involved to distinguish the changes in the spillover in these distinct crises, which has seldom been unveiled in the literature. By considering that the stock volatility spillover may vary over distinct timescales, the spillovers are disclosed through innovatively constructing the multi-scale spillover networks, followed by connectedness computation, based on variational mode decomposition (VMD) and generalized vector autoregression (GVAR) process. Our empirical analysis first demonstrates the different levels of increases in the total sectoral volatility spillover and changes in the roles of the sectors in the system under the aforementioned crises. Besides, the increases in the sectoral spillover in the long-term are verified to negatively impact the macroeconomy and can thereby act as warning signals.
资助项目	State Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences ; China Postdoctoral Science Foundation[2020M680281] ; Ministry of Science and Technology of China[2020AAA0108401] ; Ministry of Science and Technology of China[2019QY(Y)0101]
WOS关键词	EMPIRICAL MODE DECOMPOSITION ; IMPULSE-RESPONSE ANALYSIS ; SYSTEMIC RISK ; BUSINESS CYCLES ; CONNECTEDNESS ; MARKET ; MACROECONOMY ; INFORMATION ; PREDICTION ; EFFICIENCY
WOS研究方向	Computer Science
语种	英语
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
WOS记录号	WOS:000930687100024
资助机构	State Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences ; China Postdoctoral Science Foundation ; Ministry of Science and Technology of China
内容类型	期刊论文
源URL	[http://ir.ia.ac.cn/handle/173211/53233]
专题	多模态人工智能系统全国重点实验室
通讯作者	Zheng, Xiaolong
作者单位	1.Beijing Univ Technol, Sch Econ & Management, Beijing 100124, Peoples R China 2.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Artificial Intelligence, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Li, Jingyu,Cheng, Lu,Zheng, Xiaolong,et al. Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors[J]. IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS,2023,10(1):269-284.
APA	Li, Jingyu,Cheng, Lu,Zheng, Xiaolong,&Wang, Fei-Yue.(2023).Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors.IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS,10(1),269-284.
MLA	Li, Jingyu,et al."Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors".IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS 10.1(2023):269-284.