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Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis

Liang Wang (), Xianyan Xiong and Ziqiu Cao
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Liang Wang: Xi’an University of Technology
Xianyan Xiong: Xi’an University of Technology
Ziqiu Cao: Xi’an University of Technology

Palgrave Communications, 2023, vol. 10, issue 1, 1-14

Abstract: Abstract This article investigates the time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis. By employing wavelet analysis, we find that: (i) As the timescale increases, the volatility spillovers between renminbi onshore and offshore markets are gradually significant and bidirectional, and they have increased significantly after the COVID-19 outbreak. (ii) The significant volatility spillovers of the two markets are decomposed into many sub-spillovers on different timescales, most possibly precipitated by heterogeneous behaviors across various investment horizons. (iii) During the COVID-19 crisis, the onshore market has the dominant position on price discovery and leads the offshore market.

Date: 2023
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DOI: 10.1057/s41599-023-01928-z

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