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Who are the net senders and recipients of volatility spillovers in China’s financial markets?

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Listed:
  • Wang, Gang-Jin
  • Xie, Chi
  • Jiang, Zhi-Qiang
  • Eugene Stanley, H.

Abstract

Using a spillover index approach, we investigate volatility spillovers across China’s stock, bond, commodity futures, and foreign exchange (FX) markets and their evolution during the period 2005–2015. We find that these four financial markets are weakly integrated. The stock market is the largest net sender of volatility spillovers to other markets, followed by the bond market, and the FX and commodity futures markets are net recipients. The time-varying volatility spillovers show that the recent global financial crisis and the European sovereign debt crisis strongly influenced China’s financial markets.

Suggested Citation

  • Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016. "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, vol. 18(C), pages 255-262.
    • Handle: RePEc:eee:finlet:v:18:y:2016:i:c:p:255-262
    DOI: 10.1016/j.frl.2016.04.025
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    More about this item

    Keywords

    Financial markets; Volatility; Spillovers; Financial crisis; VAR;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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