Zou Yijiang, Chen Qinghua, Han Jihui, Xiao Mingzhong
School of Economics, Anyang Normal University, Anyang 455008, China.
School of Systems Science, Beijing Normal University, Beijing 100875, China.
Entropy (Basel). 2025 Jan 17;27(1):81. doi: 10.3390/e27010081.
This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of the sampled countries. The results indicate that the signing of the RCEP has strengthened the interconnectedness of member countries' stock markets, with an overall upward trend in volatility spillover effects, which become even more pronounced during periods of financial turbulence. Within the structure of RCEP member stock markets, China is identified as a net risk receiver, while countries like Japan and South Korea act as net risk spillover contributors. This highlights the current "fragility" of China's stock market, making it susceptible to risk shocks from the stock markets of economically developed RCEP member countries. This analysis suggests that significant changes in bidirectional risk spillover relationships between China's stock market and those of other RCEP members coincided with the signing and implementation of the RCEP agreement.
本文选取了2007年12月3日至2024年12月9日RCEP成员国的股票市场日交易数据，并运用时变参数向量自回归（TVP-VAR）模型和转移熵来衡量抽样国家股票市场之间的时变波动溢出效应。结果表明，RCEP的签署加强了成员国股票市场的相互联系，波动溢出效应总体呈上升趋势，在金融动荡时期更为明显。在RCEP成员国股票市场结构中，中国被确定为净风险接受者，而日本和韩国等国家则是净风险溢出贡献者。这凸显了当前中国股票市场的“脆弱性”，使其容易受到RCEP经济发达成员国股票市场的风险冲击。该分析表明，中国股票市场与其他RCEP成员国之间双向风险溢出关系的重大变化与RCEP协定的签署和实施相吻合。
