IDEAS home Printed from https://ideas.repec.org/a/eee/riibaf/v82y2026ics0275531925005045.html

The impact of co-movements in international commodity idiosyncratic volatility on China’s financial market risk

Author

Listed:
  • Li, Shuping
  • Yao, Xiaoyang
  • Li, Jianfeng

Abstract

This study applies the generalized dynamic factor model (GDFM), TVP-VAR-DY framework, and pattern causality to investigate spillover effect from international commodity idiosyncratic volatility co-movements to China’s financial market risk, as well as the impact of a series of macroeconomic factors on such spillover effect. The empirical results indicate that the idiosyncratic volatility co-movements of energy, industrial metals, precious metals, soft commodities, and agricultural products all have significant spillover effects on China’s financial market risk. The influence of commodity idiosyncratic co-movements on China’s financial market risk is relatively stable under normal economic conditions but intensifies significantly during periods of deteriorating economic fundamentals. Macroeconomic factors such as international capital flows, investor sentiment, geopolitical risks, economic conditions, and international freight rates predominantly exhibit a positive causal effect on the dynamic spillover effect.

Suggested Citation

  • Li, Shuping & Yao, Xiaoyang & Li, Jianfeng, 2026. "The impact of co-movements in international commodity idiosyncratic volatility on China’s financial market risk," Research in International Business and Finance, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:riibaf:v:82:y:2026:i:c:s0275531925005045
    DOI: 10.1016/j.ribaf.2025.103248
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531925005045
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ribaf.2025.103248?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
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    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:eee:riibaf:v:82:y:2026:i:c:s0275531925005045. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .

    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.