A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets
通过分解依赖结构中的局部共单调和反单调性，提出新方法区分风险溢出、组合分散风险及不同严重程度的传染，并用于分析中美股市，发现美国因素主导风险溢出和中等传染。
With the fragile recovery of world economy and increasing financial uncertainty, global capital allocations and risk management become more sensitive to the risk spillover and contagion among financial markets, especially in extreme conditions. We propose a new view to detect risk contagion by the local comonotonicity and counter-monotonicity decomposed from dependence structure. It allows us to distinguish risk spillover, portfolio diversification risk, mild, moderate and severe contagions in the uniform framework. We apply it to analyze the identifications and degrees of risk contagion between Sino-US stock markets, and then find that they experience higher frequencies of portfolio diversification risk and moderate contagions while fewer proportions of mild and severe contagions. Impact factors from Unite States play the main role in increasing the odd ratio of risk spillover and moderate contagion between Sino-US stock markets. Our results can help global investors to develop sophisticated risk strategies by revealing structure information of dependence.