Who are the net senders and recipients of volatility spillovers in China’s financial markets?

Gang-Jin Wang, Chi Xie, Zhi-Qiang Jiang and H. Eugene Stanley

Finance Research Letters, 2016, vol. 18, issue C, 255-262

Abstract: Using a spillover index approach, we investigate volatility spillovers across China’s stock, bond, commodity futures, and foreign exchange (FX) markets and their evolution during the period 2005–2015. We find that these four financial markets are weakly integrated. The stock market is the largest net sender of volatility spillovers to other markets, followed by the bond market, and the FX and commodity futures markets are net recipients. The time-varying volatility spillovers show that the recent global financial crisis and the European sovereign debt crisis strongly influenced China’s financial markets.

Keywords: Financial markets; Volatility; Spillovers; Financial crisis; VAR (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:255-262

DOI: 10.1016/j.frl.2016.04.025

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