IDEAS home Printed from https://ideas.repec.org/a/apa/ijbaas/2020p236-246.html
   My bibliography  Save this article

Dynamic Volatility Spillover Among Chinese Black Series Futures Under Structural Breaks

Author

Listed:
  • Ruiwen Yang

    (Faculty of Economics, Chiang Mai University, Chiangmai, Thailand)

  • Pathairat Pastpipatkul

    (Faculty of Economics, Chiang Mai University, Chiangmai, Thailand)

  • Chaiwat Nimanussornkul

    (Faculty of Economics, Chiang Mai University, Chiangmai, Thailand)

Abstract

This paper explores the dynamic volatility spillovers among five major futures in China, including rebar, hot rolled coils, iron ore, cooking coal and coke. We employ Dynamic Conditional Correlation (DCC) GARCH model to examine the volatility spillover effects among the markets with considering of structural breaks in variance. What’s more, in this study we use modified Iterated Cumulative Sum of Squares (ICSS) algorithm to detect the structural breaks. The empirical results show there are strong correlations across black series futures market. Especially, the relation between rebar and hot rolled coils, coke and cooking coal are more closely than other pairs. This research provides the insight to the information transmission in black series futures market which are meaningful to market participants make hedging and trading strategies.

Suggested Citation

  • Ruiwen Yang & Pathairat Pastpipatkul & Chaiwat Nimanussornkul, 2020. "Dynamic Volatility Spillover Among Chinese Black Series Futures Under Structural Breaks," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 6(5), pages 236-246.
    • Handle: RePEc:apa:ijbaas:2020:p:236-246
    DOI: 10.20469/ijbas.6.10002-5
    as

    Download full text from publisher

    File URL: https://kkgpublications.com/business-v6-i5-article-2/
    Download Restriction: no
    File URL: https://kkgpublications.com/wp-content/uploads/2020/10/ijbas.6.10002-5.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.20469/ijbas.6.10002-5?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
    ---><---

    References listed on IDEAS

    as
    1. Du Du & Redouane Elkamhi & Jan Ericsson, 2019. "Time‐Varying Asset Volatility and the Credit Spread Puzzle," Journal of Finance, American Finance Association, vol. 74(4), pages 1841-1885, August.
    2. Marcin Faldzinski & Michal Bernard Pietrzak, "undated". "The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations," Working Papers 164/2015, Institute of Economic Research, revised Nov 2015.
    3. Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
    4. Daniel Carvalho, 2018. "How Do Financing Constraints Affect Firms’ Equity Volatility?," Journal of Finance, American Finance Association, vol. 73(3), pages 1139-1182, June.
    5. Niaz Bashiri Behmiri, Matteo Manera, and Marcella Nicolini, 2019. "Understanding Dynamic Conditional Correlations between Oil, Natural Gas and Non-Energy Commodity Futures Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    6. Wang, Qunwei & Hang, Ye & Su, Bin & Zhou, Peng, 2018. "Contributions to sector-level carbon intensity change: An integrated decomposition analysis," Energy Economics, Elsevier, vol. 70(C), pages 12-25.
    7. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
    8. Güloğlu, Bülent & Kaya, Pınar & Aydemir, Resul, 2016. "Volatility transmission among Latin American stock markets under structural breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 330-340.
    9. Edric Julio Kinata, 2016. "The effect of market volatility and firm size towards the difference of market reaction around stock-split announcement in indonesia stock exchange," Journal of Administrative and Business Studies, Professor Dr. Usman Raja, vol. 2(6), pages 304-314.
    10. Kyoungsu Kim & Seok Lim, 2019. "Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China," Applied Economics Letters, Taylor & Francis Journals, vol. 26(5), pages 351-357, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
    2. Ma, Yu & Zhang, Tingting & Qian, Wenyu & Wei, Danqi, 2022. "Financial development, demographic changes, and the growth of the non-hydro renewable energy Industry—An empirical test based on R&D and financing costs," Renewable Energy, Elsevier, vol. 185(C), pages 217-229.
    3. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
    4. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
    5. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
    6. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
    7. Xie, Xuan & Lin, Boqiang, 2019. "Understanding the energy intensity change in China's food industry: A comprehensive decomposition method," Energy Policy, Elsevier, vol. 129(C), pages 53-68.
    8. Li, Cunfang & Zhang, Bo & Lai, Yongzeng & Dong, Mei & Li, Danping, 2019. "Does the trans-regional transfer of resource-oriented enterprises generate a stress effect?," Resources Policy, Elsevier, vol. 64(C).
    9. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    10. Taehyun Kim & Quoc H Nguyen, 2020. "The Effect of Public Spending on Private Investment," Review of Finance, European Finance Association, vol. 24(2), pages 415-451.
    11. Eric Hillebrand & Gunther Schnabl, 2008. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, vol. 5(4), pages 389-401, December.
    12. Zhao, Yi & Dai, Xingyu & Zhang, Dongna & Wang, Qunwei & Cao, Yaru, 2023. "Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis," Finance Research Letters, Elsevier, vol. 51(C).
    13. Ahmed, Walid M.A., 2018. "On the interdependence of natural gas and stock markets under structural breaks," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 149-161.
    14. Krämer, Walter & Messow, Philip, 2012. "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers 310, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    15. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working papers 2008-48, University of Connecticut, Department of Economics.
    16. Chen, Jiandong & Xu, Chong & Huang, Shuo & Shen, Zhiyang & Song, Malin & Wang, Shiqi, 2022. "Adjusted carbon intensity in China: Trend, driver, and network," Energy, Elsevier, vol. 251(C).
    17. Xu, Chong & Wang, Bingjie & Chen, Jiandong & Shen, Zhiyang & Song, Malin & An, Jiafu, 2022. "Carbon inequality in China: Novel drivers and policy driven scenario analysis," Energy Policy, Elsevier, vol. 170(C).
    18. Sang Hoon Kang & Seong-Min Yoon, 2010. "Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns," Korean Economic Review, Korean Economic Association, vol. 26, pages 431-451.
    19. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
    20. Ewing, Bradley T. & Malik, Farooq, 2016. "Volatility spillovers between oil prices and the stock market under structural breaks," Global Finance Journal, Elsevier, vol. 29(C), pages 12-23.

    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:apa:ijbaas:2020:p:236-246. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Professor Dr. Bahaudin G. Mujtaba (email available below). General contact details of provider: https://kkgpublications.com/business/ .

    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.