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Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate

Yanping Zhao, Zaghum Umar and Xuan Vinh Vo

Journal of Futures Markets, 2021, vol. 41, issue 11, 1843-1860

Abstract: We analyze the return and volatility connectedness between the three Chinese exchange rate markets, namely, the onshore market, the offshore market, and the nondeliverable forward offshore market. Our results show that connectedness exhibits an increasing trend with fluctuations during periods of internal reforms and external shocks. For example, the connectedness increased with China's exchange rate reform on August 11, 2015 but dropped after that. Furthermore, we document that the offshore spot and a forward market dominated the other rates in return spillovers. In contrast, both the offshore and onshore forward rates dominated the other rates in volatility spillovers.

Date: 2021
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