Research on the Superposition Effect of Risk Spillovers from International Stock Markets to China: Based on the FNAC-delta CoES Model

Abstract

Abstract: To investigate the superposition effect of risk spillovers from multiple international stock markets to China, this paper extends the two-dimensional delta CoES to multi-dimensional delta CoES, and derives its explicit solution based on the fully nested Archmedean Copula (FNAC). Then the measurement formula and significance test method of the superposition effect of risk spillover are given. The empirical results show that: when two international stock markets are at risk at the same time, there is a significant and non-linear superposition effect on risk spillovers from them to China’s stock market, but the superposition effect does not necessarily continue to strengthen with the increasing number of international stock markets at risk. In addition, by comparing the superposition effect of risk spillovers from different international stock market combinations, we find that European stock markets have the greatest impact on the superposition effect. Finally, the results of a robustness test show that the FNAC-delta CoES model is robust.

Key words: risk spillovers, superposition effect, fully nested Archimedean Copula, delta CoES, stock markets

Cao Jie, Lei Lianghai, Lei Qiran. Research on the Superposition Effect of Risk Spillovers from International Stock Markets to China: Based on the FNAC-delta CoES Model[J]. Management Review, 2023, 35(3): 49-60.

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