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2021 | OriginalPaper | Chapter

Multi-scale Tail Risk Transmission Mechanism of Chinese and Russian Stock Market Based on Spatiotemporal Kriging Model

Authors : Chenglin Xiao, Weili Xia, Jijiao Jiang

Published in: Big Data Analytics for Cyber-Physical System in Smart City

Publisher: Springer Singapore

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Abstract

Economic globalization promotes closer economic ties among countries, and may also lead to a wider spread of economic risks. It is of great significance to study the transmission mechanism of financial risk. In this paper, the multi-scale tail risk transmission mechanism of Chinese and Russian stock market based on spatiotemporal Kriging model is studied. In this paper, the stock market of China and Russia is taken as the research object. Based on the Kriging model of time and space, the variance decomposition is studied. In this paper, we find that the maximum value of Ru share is 2.035% in the results of variance decomposition of SH series and 0.861% in the results of variance decomposition of Ru series. The multi-scale tail risk of Russian stock market has a relatively significant impact on Chinese market, while the multi-scale tail risk of Chinese stock market has a relatively low impact on Russian market.

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Metadata
Title
Multi-scale Tail Risk Transmission Mechanism of Chinese and Russian Stock Market Based on Spatiotemporal Kriging Model
Authors
Chenglin Xiao
Weili Xia
Jijiao Jiang
Copyright Year
2021
Publisher
Springer Singapore
Book
Big Data Analytics for Cyber-Physical System in Smart City

Print ISBN: 978-981-334-573-7

Electronic ISBN: 978-981-334-572-0

Copyright Year: 2021

DOI
https://doi.org/10.1007/978-981-33-4572-0_153

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