This paper investigates the impact of abnormal temperature on the Chinese disaggregated sectoral stock markets, including manufacturing, energy, transportation, agriculture, environmental and financial sectors. The panel quantile regressions show that abnormal temperature reduces stock returns,...

Using the Tail-Event driven NETwork (TENET) framework, which analyses tail events and network dynamics, we create an extreme risk spillover network comprising 80 energy companies in coal, oil, natural gas, and new energy. To study risk channels and the relative role of each subsector or company...

This article proposes a new nonparametric test to detect financial contagion by using a Kendall's tau-based asymmetric measure of comovements between two time series. Simulation studies demonstrate the reasonable size performance and good power in finite sample of our test. An empirical...