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Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers

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  • Yuan, Xianghui
  • Long, Jun
  • Li, Xiang
  • Zhao, Chencheng

Abstract

This paper investigates the asymmetric spillover in the Chinese stock sectors, spanning from January 2011 to December 2022. Specifically, our work highlights the daytime and overnight return spillovers, using the DY spillover framework. The empirical results reveal that the main risk transmitters are Industrial, Materials, and Con.discret sectors, whereas the main risk receivers are Telecom and Financial sectors during the day and night. Furthermore, we find ample evidence of asymmetric spillover by the spillover asymmetric measures (SAM). Total spillover is higher at night due to stronger overnight correlations. The sectors' FROM contributions are also significantly higher at night, while TO contributions are not so. Finally, we find that Chinese and American EPUs have asymmetric influence on the daytime and overnight spillovers. These findings provide important practical implications to regulatory authorities and investors for better diversification strategies and effective market oversight.

Suggested Citation

  • Yuan, Xianghui & Long, Jun & Li, Xiang & Zhao, Chencheng, 2025. "Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers," Pacific-Basin Finance Journal, Elsevier, vol. 89(C).
    • Handle: RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003378
    DOI: 10.1016/j.pacfin.2024.102585
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    More about this item

    Keywords

    Return spillover; Asymmetric spillover; Daytime and overnight returns; Stock sectors;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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