Who are the net senders and recipients of volatility spillovers in China’s financial markets?
Zhi-Qiang Jiang and
H. Eugene Stanley
Finance Research Letters, 2016, vol. 18, issue C, 255-262
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:255-262
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