Research on the risk spillovers between Shanghai, Shenzhen and Hong Kong stock markets-Based on the time varying ΔCoVaR model

This paper uses the ΔCoVaR approach to estimate the tail risk spillover effects between Shanghai/Shenzhen and Hong Kong stock markets from November 2006 to December 2018. The results show that: 1) There exist the significantly positive spillover effects between Shanghai/Shenzhen and Hong Kong stock markets in both directions; 2) The spillover effects from Hong Kong to Shanghai/Shenzhen stock market are stronger than those from Shanghai/Shenzhen to Hong Kong stock market; 3) There exist more fluctuations in the spillover effects between Shenzhen and Hong Kong stock markets than those in the spillover effects between Shanghai and Hong Kong stock markets; 4) After the launch of the ‘Shanghai-Hong Kong Stock Connect’ and ‘Shenzhen-Hong Kong Stock Connect’, the spillover effects between Hong Kong and Shanghai/Shenzhen stock markets do not appear to change significantly. © 2020, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.