A Study of Systemic Risk Spillovers between Asia Emerging Markets and China Equity Markets -Empirical analysis based on quantile regression and the CoVaR method

For this study, India (BSE), Indonesia (JKSE), Shanghai Composite Index (SSE), Taiwan (TWII), Malaysia (KLCI), the Philippines (PSI), Thailand (SET), and South Korea (KOSPI) were selected as the Asia emerging markets. The data source used was DataGuide5 (https://dataguide.fnguide.com), and the sample interval was selected from 2000.01.01 to 2022.8.16, with closing prices for five trading days per week.