{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,20]],"date-time":"2026-05-20T04:35:36Z","timestamp":1779251736349,"version":"3.51.4"},"reference-count":49,"publisher":"MDPI AG","issue":"1","license":[{"start":{"date-parts":[[2025,1,17]],"date-time":"2025-01-17T00:00:00Z","timestamp":1737072000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Henan Provincial Philosophy and Social Sciences Planning Annual Project","award":["2023CJJ112"],"award-info":[{"award-number":["2023CJJ112"]}]},{"name":"Henan Provincial Philosophy and Social Sciences Planning Annual Project","award":["232102210064"],"award-info":[{"award-number":["232102210064"]}]},{"DOI":"10.13039\/501100017700","name":"Henan Provincial Science and Technology Research Project","doi-asserted-by":"publisher","award":["2023CJJ112"],"award-info":[{"award-number":["2023CJJ112"]}],"id":[{"id":"10.13039\/501100017700","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100017700","name":"Henan Provincial Science and Technology Research Project","doi-asserted-by":"publisher","award":["232102210064"],"award-info":[{"award-number":["232102210064"]}],"id":[{"id":"10.13039\/501100017700","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of the sampled countries. The results indicate that the signing of the RCEP has strengthened the interconnectedness of member countries\u2019 stock markets, with an overall upward trend in volatility spillover effects, which become even more pronounced during periods of financial turbulence. Within the structure of RCEP member stock markets, China is identified as a net risk receiver, while countries like Japan and South Korea act as net risk spillover contributors. This highlights the current \u201cfragility\u201d of China\u2019s stock market, making it susceptible to risk shocks from the stock markets of economically developed RCEP member countries. This analysis suggests that significant changes in bidirectional risk spillover relationships between China\u2019s stock market and those of other RCEP members coincided with the signing and implementation of the RCEP agreement.<\/jats:p>","DOI":"10.3390\/e27010081","type":"journal-article","created":{"date-parts":[[2025,1,21]],"date-time":"2025-01-21T06:53:32Z","timestamp":1737442412000},"page":"81","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy"],"prefix":"10.3390","volume":"27","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1493-677X","authenticated-orcid":false,"given":"Yijiang","family":"Zou","sequence":"first","affiliation":[{"name":"School of Economics, Anyang Normal University, Anyang 455008, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qinghua","family":"Chen","sequence":"additional","affiliation":[{"name":"School of Systems Science, Beijing Normal University, Beijing 100875, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9402-9020","authenticated-orcid":false,"given":"Jihui","family":"Han","sequence":"additional","affiliation":[{"name":"School of Computer Science and Technology, Zhengzhou University of Light Industry, Zhengzhou 450001, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Mingzhong","family":"Xiao","sequence":"additional","affiliation":[{"name":"School of Artificial Intelligence, Beijing Normal University, Beijing 100875, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2025,1,17]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"500","DOI":"10.1016\/0022-0531(74)90024-6","article-title":"An equilibrium model of the international capital market","volume":"8","author":"Solnik","year":"1974","journal-title":"J. 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