Dynamic Volatility Spillover Among Chinese Black Series Futures Under Structural Breaks

Ruiwen Yang, Pathairat Pastpipatkul and Chaiwat Nimanussornkul
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Ruiwen Yang: Faculty of Economics, Chiang Mai University, Chiangmai, Thailand
Pathairat Pastpipatkul: Faculty of Economics, Chiang Mai University, Chiangmai, Thailand
Chaiwat Nimanussornkul: Faculty of Economics, Chiang Mai University, Chiangmai, Thailand

International Journal of Business and Administrative Studies, 2020, vol. 6, issue 5, 236-246

Abstract: This paper explores the dynamic volatility spillovers among five major futures in China, including rebar, hot rolled coils, iron ore, cooking coal and coke. We employ Dynamic Conditional Correlation (DCC) GARCH model to examine the volatility spillover effects among the markets with considering of structural breaks in variance. What’s more, in this study we use modified Iterated Cumulative Sum of Squares (ICSS) algorithm to detect the structural breaks. The empirical results show there are strong correlations across black series futures market. Especially, the relation between rebar and hot rolled coils, coke and cooking coal are more closely than other pairs. This research provides the insight to the information transmission in black series futures market which are meaningful to market participants make hedging and trading strategies.

Keywords: Dynamic spillovers; structural breaks; black series futures; DCC; GARCH (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:apa:ijbaas:2020:p:236-246

DOI: 10.20469/ijbas.6.10002-5

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