Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks

Zhang-HangJian Chen, Sai-Ping Li, Mei-Ling Cai, Li-Xin Zhong and Fei Ren

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: By integrating the stock and futures markets of mainland China and Hong Kong into the same financial system, we explore the cross-region risk spillovers between the stock market and stock index futures market under the impact of exogenous events. We find evidence of significant risk spillovers between the two stock markets, and confirm that exogenous shocks, including the adjustments of regulatory policies of mainland China and 2019 Hong Kong Protest, can significantly affect the volatility spillover across assets and markets. Our findings can potentially help regulators and investors understand the cross-region risk conduction and assess portfolio risk after exogenous event.

Keywords: Cross-regional risk spillovers; Stock index; Stock index futures; Exogenous shocks (search for similar items in EconPapers)
JEL-codes: C32 G15 G18 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000784

DOI: 10.1016/j.najef.2021.101451

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