IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v93y2024ics1057521924000462.html
   My bibliography  Save this article

Asymmetric and high-order risk transmission across VIX and Chinese futures markets

Author

Listed:
  • Zhang, Qun
  • Zhang, Zhendong
  • Luo, Jiawen

Abstract

Due to the increasing attention to the linkages of financial markets in the context of ongoing economic globalization and financial integration, we delve into the transmission of risk across the Chicago Board Options Exchange Volatility Index (VIX) and volatility estimators of Chinese futures markets, where the VIX serves as an essential indicator of global financial market instability. By conducting tests on structural breaks in different order moments and risk contagions in different order co-moments via the regime-switching skew-normal model, we discover the existence of asymmetric volatility contagions through the correlation channel during the mid-2015 Chinese stock market crash and through the co-skewness channel during the first quarter of 2016. Interestingly, the risk contagion among the VIX and returns of the four futures primarily occurs via the co-skewness channel, rather than the commonly studied correlation channel. The joint structural break tests further reveal significant regime shifts in both first- and third-order moments for the VIX and negative realized semivariances of the four futures.

Suggested Citation

  • Zhang, Qun & Zhang, Zhendong & Luo, Jiawen, 2024. "Asymmetric and high-order risk transmission across VIX and Chinese futures markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    • Handle: RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462
    DOI: 10.1016/j.irfa.2024.103114
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057521924000462
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.irfa.2024.103114?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.