YUAN Ying, LIU Rui, XU Bo. Research on Risk Contagion of China′s Real Estate Industry and Banking Industry Based on Copula Function[J]. Journal of Northeastern University(Natural Science), 2021, 42(4): 582-588.
[1]翟永会.系统性风险管理视角下实体行业与银行业间风险溢出效应研究[J].国际金融研究,2019(12):74-84.(Zhai Yong-hui.Research on risk spillover effect between entity industry and banking industry from the perspective of systemic risk management[J].Studies of International Finance,2019(12):74-84.) [2]Milcheva S,Zhu B.Asset pricing,spatial linkages and contagion in real estate stocks[J].Journal of Property Research,2018,35(4):271-295. [3]Pavlidis E,Paya I,Skouralis A.House prices,(un)affordability and systemic risk[J]. New Zealand Economic Papers,2020(1):1-29. [4]Tse Y K.A test for constant correlations in a multivariate GARCH model[J].Journal of Econometrics,2000,98(1):107-127. [5]Sklar A.Fonctions de repartition à n dimensions et leurs marges[J].Publication de 1’Institut de Statistique de 1’Universitè de Paris,1959,8:229–231. [6]Patton A J.Modeling time-varying exchange rate dependence using the conditional Copula[J].Social Science Electronic Publishing,2001,47(2):527-556. [7]Zorgati I,Lakhal F,Zaabi E.Financial contagion in the subprime crisis context:a Copula approach[J]. The North American Journal of Economics and Finance,2019,47:269-282. [8]Wen F H,Yang X,Zhou W X.Tail dependence networks of global stock markets[J].International Journal of Finance & Economics,2019,24(1):558-567. [9]Wen X Q,Bouri E,Cheng H.The crude oil-stock market dependence and its determinants:evidence from emerging economies[J].Emerging Markets Finance & Trade,2019,55(10):2254-2274. [10]Ji Q,Liu B Y,Fan Y.Risk dependence of CoVaR and structural change between oil prices and exchange rates:a time-varying Copula model[J].Energy Economics,2019,77:80-92. [11]陈迅,胡成春,花拥军.我国银行业与房地产业极端风险溢出效应研究[J].系统工程,2017,35(8):127-133.(Chen Xun,Hu Cheng-chun,Hua Yong-jun.The spillover effect of extreme risk between banking and real estate[J].Systems Engineering,2017,35(8):127-133.) [12]Kurlat P,Stroebel J.Testing for information asymmetries in real estate markets[J].The Review of Financial Studies,2015,28(8):2429-2461. [13]Hoesli M,Reka K.Contagion channel between real estate and financial markets[J].Real Estate Economics,2015,43(1):101-138. [14] Chen Y K,Shen C H,Kao L,et al.Bank liquidity risk and performance[J].Review of Pacific Basin Financial Markets and Policies,2018,21(1):1-37. [15]Zhang R G,Xian X S,Fang H W.The early-warning system of stock market crises with investor sentiment:evidence from China [J].International Journal of Finance & Economics,2019,24(1):361-369. [16]Renault T.Intraday online investor sentiment and return patterns in the U.S.stock market[J].Journal of Banking & Finance,2017,84:25-40. [17]侯雨婷,金秀.流动性与股价崩盘风险关系及影响渠道的实证研究[J].东北大学学报(自然科学版),2020,41(2):300-304.(Hou Yu-ting,Jin Xiu.Empirical study on the relationship and influence channel between stock liquidity and stock price crash risk[J].Journal of Northeastern University(Natural Science),2020,41(2):300-304.) [18]Bekaert G,Harvey C R,Ng A.Market integration and contagion[J].The Journal of Business,2005,78(1):39-69. [19]Longstaff F A.The subprime credit crisis and contagion in financial markets[J].Journal of Financial Economics,2010,97(3):436–450. [20]胡聪慧,刘学良.大宗商品与股票市场联动性研究:基于融资流动性的视角[J].金融研究,2017(7):123-138.(Hu Cong-hui,Liu Xue-liang.The co-movement between commodity and stock markets on the perspective of funding liquidity[J].Journal of Financial Research,2017(7):123-138.) [21]张一,吴宝秀,李喆.新兴市场国家间的金融危机传染效应研究[J].管理评论,2016,28(5):23-34.(Zhang Yi,Wu Bao-xiu,Li Zhe.Research on financial contagion of emerging country markets[J].Business Review,2016,28(5):23-34.) [22]King M A,Wadhwani S.Transmission of volatility between stock markets[J].The Review of Financial Studies,1990,3(1):5-33. [23]Brunnermeier M K.Deciphering the liquidity and credit crunch 2007—2008[J].Journal of Economic Perspectives,2009,23(1):77–100. [24]De Long J B,Shleifer A,Summers L H,et al.Noise trader risk in financial markets[J].Journal of Political Economy,1990,98(4):703-738.