The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model

The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model

Exploring the risk spillover between Chinese and mature stock markets is a promising topic. In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model that combines a state transition mechanism with a weighted mixed-Clayton copula. It is applied to investigate the dynamic...

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Bibliographic Details
Main Authors: Hongli Niu, Kunliang Xu, Mengyuan Xiong
Format: Article
Language:English
Published: MDPI AG 2023-04-01
Series:Entropy
Subjects:
risk contagion
Chinese stock market
mature stock markets
Markov-switching
Clayton copula
Online Access:https://www.mdpi.com/1099-4300/25/4/619

Internet

https://www.mdpi.com/1099-4300/25/4/619

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