Return spillover across China's financial markets

Yu-Lun Chen, Wan-Shin Mo, Rong-Ling Qin and J. Jimmy Yang

Pacific-Basin Finance Journal, 2023, vol. 80, issue C

Abstract: This paper examines return spillovers across China's bond, stock, and offshore (CNH/USD) and onshore (CNY/USD) exchange rate markets. We find evidence of a major transmitting role of the exchange rate market. Our results suggest that the Renminbi exchange rate market can reflect more market information and transmit it to bond and stock markets. Moreover, macroeconomic factors such as the monetary policy and economic policy uncertainty, the 2015 Renminbi exchange rate reform, and the COVID-19 pandemic are important determinants of the CNY/USD and CNH/USD spillover transmissions. Our results provide practical implications for investors, multinational corporations, and policymakers in China.

Keywords: Financial connectedness; Diebold and Yilmaz index; CNH/USD; CNY/USD (search for similar items in EconPapers)
JEL-codes: F31 F38 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001233

DOI: 10.1016/j.pacfin.2023.102057

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