Article - Problems of Modern Economics

Sokolov B. I.
Chair of Credit Theory and Financial Management, Department of Economics, St. Petersburg State University, PhD (Economics), Professor
Zhang Wenyi
PhD student, Chair of Credit Theory and Financial Management, Department of Economics, St. Petersburg State University

Measuring tail- and systemic risk in the green segments of the stock markets of China and Russia: Empirical analysis based on the Garch-Cvar and Mes models (Russia, St. Petersburg)

The article discusses the case of the Chinese green ETF, the broad CSI 300 index and the Russian MOEX Russia index with regard to the daily data for 2021–2024 to measure the tail- and the systemic risks of the stock markets of China and Russia. The authors apply GARCH–CVaR and MES models for their research and demonstrate that the green sector of China and the Russian market have significantly higher tail- and systemic risk exposure compared to the broad CSI 300 index, with the MOEX index being the main “amplifier” of systemic risk as part of a bilateral portfolio.

Key words: systemic risk, GARCH, CVaR, MES, stock markets of China and Russia

Pages: 78 - 82

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