Abstract
There exists a potential interdependence among the United States markets, alongside an exceptional dependence on the East Asian stock markets. This transmission of risks is similarly evident in funds that are traded within markets. The current study seeks to uncover the pathways of risk contagion among various financial markets. This study examines how risks of funds spread across borders among China, the United States, and East Asia using Extreme Value Theory (EVT) and C vine copula quantile regression. It uses models such as AR (1), EGARCH (1, 1), Peak over Threshold (POT), and Copula methods to predict volatility events and correlation patterns during times of high volatility versus regular periods. Notably, the United States exhibits a risk transmission effect on the East Asian market compared to China. Furthermore, the findings indicate that, in times of high volatility, the risk spillover effect is comparatively weak, which is contrary to the situation of the US market. The study suggests that China's financial impact could progressively rise due to initiatives aimed at sector integration and enhancing financial independence. These findings have enlightening consequences for macro-prudential regulatory agencies, emphasizing the necessity of effective regulation to address cross-border risk spillovers. International investors can benefit from these results by incorporating risk-hedging strategies, accurately evaluating derivatives, and making wise investment decisions.