Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China

Hou, Yang (Greg) and Steven Li

International Review of Economics & Finance, 2020, vol. 66, issue C, 166-188

Abstract: This paper examines volatility and skewness spillover between Chinese stock index and index futures markets during the market crash in 2015. The results reveal that the volatility spillover from futures to spot is significant and stronger than the other way around and the transmission of downside risk is bilateral with the futures market taking the lead. Moreover, the measures announced during the market crash to curb the speculative futures trading appears to enhance the spillover of both volatility and skewness from futures to spot markets. This paper thus sheds some light on the validity of such measures to restore market efficiency during a stock market crash.

Keywords: Volatility spillover; Skewness spillover; GARCH model; Skewed Student's t distribution; Chinese stock market crash; Chinese stock index futures (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188

DOI: 10.1016/j.iref.2019.11.003

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