Dynamic Spillover Effects Among China’s Energy, Real Estate, and Stock Markets: Evidence from Extreme Events

Dynamic Spillover Effects Among China’s Energy, Real Estate, and Stock Markets: Evidence from Extreme Events

This paper employs a Time-Varying Parameter Vector Autoregression Directional–Spillover (TVP-VAR-DY) model to investigate the dynamic spillover effects among China’s energy, real estate, and stock markets from 2013 to 2023, with a focus on the impact of extreme events. The findings show that the tot...

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Bibliographic Details
Main Authors: Fusheng Xie, Jingbo Wang, Chunzi Wang
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:International Journal of Financial Studies
Subjects:
spillover effects
energy market
real estate market
stock market
TVP-VAR-DY model
extreme events
Online Access:https://www.mdpi.com/2227-7072/13/2/97
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