Quantile connectedness between Chinese stock and commodity futures markets

Mobeen Ur Rehman, Xuan Vinh Vo, Hee-Un Ko, Nasir Ahmad and Sang Hoon Kang

Research in International Business and Finance, 2023, vol. 64, issue C

Abstract: In this study, we examine the static and dynamic connectedness between the conventional Chinese stock market and commodity futures (aluminum, gold, copper, steel rebar, natural rubber, and zinc). Our results show that both steel rebar and gold receive whereas zinc and copper transmit changes across all quantiles. However, spillover behavior of aluminum, natural rubber, and CSI 300 vary across different quantiles. Our results have implications for investors who are considering a mix of Chinese conventional stocks and commodity futures in their portfolios. Our findings also provide insights for investing under different market conditions by providing results for static as well as dynamic connectedness between CSI 300 and the commodities market.

Keywords: CSI 300; Commodities; Quantiles; Connectedness; Spillover (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001969

DOI: 10.1016/j.ribaf.2022.101810

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