Asymmetric and high-order risk transmission across VIX and Chinese futures markets

Qun Zhang, Zhendong Zhang and Jiawen Luo

International Review of Financial Analysis, 2024, vol. 93, issue C

Abstract: Due to the increasing attention to the linkages of financial markets in the context of ongoing economic globalization and financial integration, we delve into the transmission of risk across the Chicago Board Options Exchange Volatility Index (VIX) and volatility estimators of Chinese futures markets, where the VIX serves as an essential indicator of global financial market instability. By conducting tests on structural breaks in different order moments and risk contagions in different order co-moments via the regime-switching skew-normal model, we discover the existence of asymmetric volatility contagions through the correlation channel during the mid-2015 Chinese stock market crash and through the co-skewness channel during the first quarter of 2016. Interestingly, the risk contagion among the VIX and returns of the four futures primarily occurs via the co-skewness channel, rather than the commonly studied correlation channel. The joint structural break tests further reveal significant regime shifts in both first- and third-order moments for the VIX and negative realized semivariances of the four futures.

Keywords: Risk transmission; Asymmetric volatility; Structural breaks; Chinese futures markets (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521924000462
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462

DOI: 10.1016/j.irfa.2024.103114

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().