The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande

We estimate and explain the time-varying left-tail dependence between the returns of the China Evergrande Group, a prominent real estate developer in financial distress, and 275 liquid shares traded on major Chinese stock markets. Our sample starts on 15th October 2015, and ends on 29th April 2022. The analysis reveals that the most exposed were shares of larger corporations (in terms of market capitalization) and those in the real estate and utilities sectors. On the other hand, A-shares and shares in the information technology, health care, or even consumer sectors tend to be less exposed.