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Does futures market internationalization amplify volatility spillovers from abroad? Evidence from China

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  • Liu, Jiahao
  • Han, Peilin
  • Ju, Ronghua

Abstract

Treating the phased rollout of the internationalization reform in China’s agricultural futures market as a quasi-natural experiment, this study employs a staggered difference-in-differences approach to assess the impact of futures market internationalization on cross-market volatility spillovers. The findings are as follows: (1) the internationalization policy significantly increases net volatility spillovers from foreign markets, indicating that domestic price volatility becomes significantly more predictable from shocks originating in foreign markets after the policy’s implementation. (2) the amplification effect of internationalization on volatility spillovers from abroad is more pronounced in markets with lower level of speculative activity.

Suggested Citation

  • Liu, Jiahao & Han, Peilin & Ju, Ronghua, 2026. "Does futures market internationalization amplify volatility spillovers from abroad? Evidence from China," Finance Research Letters, Elsevier, vol. 99(C).
    • Handle: RePEc:eee:finlet:v:99:y:2026:i:c:s1544612326004630
    DOI: 10.1016/j.frl.2026.109934
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