Fang Zhongzheng
Faculty of Business Administration, Kangnam University, Yongin-si, Gyeonggi-do, Republic of Korea.
PLoS One. 2025 May 5;20(5):e0322381. doi: 10.1371/journal.pone.0322381. eCollection 2025.
This study examines systemic risk spillover effects between China's Shanghai Stock Exchange (SSE) and seven Asian emerging markets within the context of increasing global financial integration. Utilizing Quantile Regression and Conditional Value-at-Risk (CoVaR) methodologies, this study provides a new perspective on understanding the asymmetry of systemic risk transmission between China and Asian emerging markets. Based on data from 2000 to 2024, the findings reveal significant spillover patterns, with Korea (KOSPI) showing high sensitivity to SSE risks, Malaysia (KLCI) exerting strong influence, and Thailand (SET) and Taiwan (TWII) emerging as key contributors and receivers of systemic risk. Under extreme market conditions, risk spillovers intensify, positioning SSE as a central hub in regional risk dynamics. These insights underscore the need for robust macroprudential policies and enhanced regional cooperation to mitigate systemic vulnerabilities, contributing to both the theoretical discourse on financial risk and its practical management.
本研究考察了在全球金融一体化不断加深的背景下，中国上海证券交易所（SSE）与七个亚洲新兴市场之间的系统性风险溢出效应。本研究运用分位数回归和条件风险价值（CoVaR）方法，为理解中国与亚洲新兴市场之间系统性风险传导的不对称性提供了新视角。基于2000年至2024年的数据，研究结果揭示了显著的溢出模式，韩国（KOSPI）对上证风险表现出高度敏感性，马来西亚（KLCI）影响力较强，泰国（SET）和台湾（TWII）成为系统性风险的主要贡献者和接受者。在极端市场条件下，风险溢出加剧，上证成为区域风险动态的核心枢纽。这些见解强调了制定强有力的宏观审慎政策和加强区域合作以减轻系统性脆弱性的必要性，这有助于金融风险的理论探讨及其实际管理。
