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Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence from a Copula-CoVaR-MODWT Approach

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Title: Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence from a Copula-CoVaR-MODWT Approach
Language: English
Authors: Yaling Chen, Qinnan Jiang, Zhifeng Dai (ORCID 0000-0002-7912-1280)
Source: Evaluation Review. 2026 50(3):384-422.
Availability: SAGE Publications. 2455 Teller Road, Thousand Oaks, CA 91320. Tel: 800-818-7243; Tel: 805-499-9774; Fax: 800-583-2665; e-mail: journals@sagepub.com; Web site: https://sagepub.com
Peer Reviewed: Y
Page Count: 39
Publication Date: 2026
Document Type: Journal Articles
Reports - Research
Descriptors: Risk, Fuels, Metallurgy, Foreign Countries, Statistical Analysis, Probability, Business, Statistical Distributions
Geographic Terms: China
DOI: 10.1177/0193841X251394455
ISSN: 0193-841X
1552-3926
Abstract: This paper investigates the systemic risk spillovers from the oil and gold markets to China financial market. Specifically, this paper uses wavelet analysis methods combined with time-varying copula models to calculate the CoVaR to explore the risk tail correlation and the strength of systemic risk spillover effects among oil, gold and China financial market under time-frequency conditions. The empirical results are as follows: First, there is a systemic risk spillover from the oil and gold markets to China financial market with significant time-varying characteristics. Second, changes in oil prices exacerbate risk spillovers from China financial markets, while price volatility in the gold market has a moderating effect on its risk spillovers, with system-wide risk spillovers increasing significantly in times of major economic crisis events. Third, oil market has a greater intensity of systemic risk spillover to China financial market than the gold market. External economic events significantly affect the intensity of risk spillovers from oil to China financial market, and abnormal volatility shocks in internal stock markets significantly affect the intensity of risk spillovers from gold to China financial market more significantly than the impact of external events. Furthermore, in the frequency domain, the oil and gold markets have some lagging effect on the transmission of systemic risks to the China financial market.
Abstractor: As Provided
Entry Date: 2026
Accession Number: EJ1501593
Database: ERIC
FullText Text:
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  Data: Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence from a Copula-CoVaR-MODWT Approach
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  Data: <searchLink fieldCode="AR" term="%22Yaling+Chen%22">Yaling Chen</searchLink><br /><searchLink fieldCode="AR" term="%22Qinnan+Jiang%22">Qinnan Jiang</searchLink><br /><searchLink fieldCode="AR" term="%22Zhifeng+Dai%22">Zhifeng Dai</searchLink> (ORCID <externalLink term="https://orcid.org/0000-0002-7912-1280">0000-0002-7912-1280</externalLink>)
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  Data: <searchLink fieldCode="SO" term="%22Evaluation+Review%22"><i>Evaluation Review</i></searchLink>. 2026 50(3):384-422.
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  Data: SAGE Publications. 2455 Teller Road, Thousand Oaks, CA 91320. Tel: 800-818-7243; Tel: 805-499-9774; Fax: 800-583-2665; e-mail: journals@sagepub.com; Web site: https://sagepub.com
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  Data: 39
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  Data: 2026
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  Data: Journal Articles<br />Reports - Research
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  Data: <searchLink fieldCode="DE" term="%22Risk%22">Risk</searchLink><br /><searchLink fieldCode="DE" term="%22Fuels%22">Fuels</searchLink><br /><searchLink fieldCode="DE" term="%22Metallurgy%22">Metallurgy</searchLink><br /><searchLink fieldCode="DE" term="%22Foreign+Countries%22">Foreign Countries</searchLink><br /><searchLink fieldCode="DE" term="%22Statistical+Analysis%22">Statistical Analysis</searchLink><br /><searchLink fieldCode="DE" term="%22Probability%22">Probability</searchLink><br /><searchLink fieldCode="DE" term="%22Business%22">Business</searchLink><br /><searchLink fieldCode="DE" term="%22Statistical+Distributions%22">Statistical Distributions</searchLink>
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  Data: <searchLink fieldCode="DE" term="%22China%22">China</searchLink>
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  Data: 10.1177/0193841X251394455
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  Data: 0193-841X<br />1552-3926
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  Label: Abstract
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  Data: This paper investigates the systemic risk spillovers from the oil and gold markets to China financial market. Specifically, this paper uses wavelet analysis methods combined with time-varying copula models to calculate the CoVaR to explore the risk tail correlation and the strength of systemic risk spillover effects among oil, gold and China financial market under time-frequency conditions. The empirical results are as follows: First, there is a systemic risk spillover from the oil and gold markets to China financial market with significant time-varying characteristics. Second, changes in oil prices exacerbate risk spillovers from China financial markets, while price volatility in the gold market has a moderating effect on its risk spillovers, with system-wide risk spillovers increasing significantly in times of major economic crisis events. Third, oil market has a greater intensity of systemic risk spillover to China financial market than the gold market. External economic events significantly affect the intensity of risk spillovers from oil to China financial market, and abnormal volatility shocks in internal stock markets significantly affect the intensity of risk spillovers from gold to China financial market more significantly than the impact of external events. Furthermore, in the frequency domain, the oil and gold markets have some lagging effect on the transmission of systemic risks to the China financial market.
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        Value: 10.1177/0193841X251394455
    Languages:
      – Text: English
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      Pagination:
        PageCount: 39
        StartPage: 384
    Subjects:
      – SubjectFull: Risk
        Type: general
      – SubjectFull: Fuels
        Type: general
      – SubjectFull: Metallurgy
        Type: general
      – SubjectFull: Foreign Countries
        Type: general
      – SubjectFull: Statistical Analysis
        Type: general
      – SubjectFull: Probability
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      – SubjectFull: Business
        Type: general
      – SubjectFull: Statistical Distributions
        Type: general
      – SubjectFull: China
        Type: general
    Titles:
      – TitleFull: Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence from a Copula-CoVaR-MODWT Approach
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            NameFull: Yaling Chen
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          Name:
            NameFull: Qinnan Jiang
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            NameFull: Zhifeng Dai
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            – D: 01
              M: 06
              Type: published
              Y: 2026
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              Value: 0193-841X
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              Value: 1552-3926
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              Value: 50
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            – TitleFull: Evaluation Review
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