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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
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    References listed on IDEAS

    as
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