Yang, Huan; Cai, Jun; Huang, Lin - In: International studies of economics 19 (2024) 2, pp. 186-222
In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure … stocks in China when compared with developed market risk factors. However, the cross-market tail linkage between developed … market risk factors and bank stocks in China rose sharply during the 2008 financial crisis. …