Connectedness and risk transmission of China’s stock and currency markets with global commodities
Huifu Nong ()
Additional contact information
Huifu Nong: Guangdong Ocean University
Economic Change and Restructuring, 2024, vol. 57, issue 1, No 5, 24 pages
Abstract:
Abstract This study investigates the transmission of risk shocks between China’s stock and currency markets with global commodities (including crude oil, natural gas, gold, silver, copper, palladium, and platinum) over time and across different frequencies, while accounting for the role of China’s economic policy uncertainty (EPU), from January 1, 2016, to June 30, 2022. Our findings reveal that both the time and frequency domain total connectedness index varies over time and suggest that both China’s stock and currency markets can provide more hedge advantage for turmoil periods. Return shocks between global commodities and China’s stock and currency markets have short-lasting effects when considering the frequency domain connectedness analysis. These return shocks typically originate from China’s stock market and currency and transmit to the commodity market, except for natural gas. Additionally, an increase in China’s EPU indicates bad news for the overall connectedness of all considered markets and the gold and silver markets.
Keywords: Financial market; Energy commodity; Precious metals; Connectedness measures; TVP; VAR model (search for similar items in EconPapers)
JEL-codes: D53 K32 Q02 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://link.springer.com/10.1007/s10644-024-09586-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:kap:ecopln:v:57:y:2024:i:1:d:10.1007_s10644-024-09586-0
Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/10644/PS2
DOI: 10.1007/s10644-024-09586-0
Access Statistics for this article
Economic Change and Restructuring is currently edited by George Hondroyiannis
More articles in Economic Change and Restructuring from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().