Impacts of geopolitical risk on China stock market: A dynamic resilience analysis.

This study investigates the resilience of various industries in China stock market against geopolitical risk (GPR). Using TVP-VAR-SV analysis, time-varying effects of GPR on China stock market is first measured and based on the results, absorption intensity and absorption duration are constructed as indicators for assessing industries' resilience. Empirical results show that: (1) the impact of GPR on industries in China stock market is time-varying and is more significant in the short and medium run than in the long run. (2) GPR on all the industries turns from positive to negative in both short and medium run, except for coal industry. (3) The absorption intensity and absorption duration of the selected industries show opposite trends, which indicates that these industries can adapt and absorb the larger GPR shocks, while the smaller GPR shocks require more time to be digested. (4) Both absorption intensity and duration show trend mutation when facing with major GPR events. Our findings provide crucial insights to investors and policymakers in China stock markets. [ABSTRACT FROM AUTHOR]