کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069365 1476986 2016 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Who are the net senders and recipients of volatility spillovers in China's financial markets?
ترجمه فارسی عنوان
فرستنده های خالص و گیرندگان ناپیوسته در بازارهای مالی چین چه کسانی هستند؟
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- Volatility spillovers among China's stock, bond, commodity futures, and FX markets are examined.
- Volatility spillovers are studied by the spillover index approach of Diebold and Yilmaz (2009, 2012).
- The stock market is the largest net sender of shocks to other markets, followed by the bond market.
- The FX and commodity futures markets are net recipients of volatility spillovers.
- Volatility spillovers in China's financial markets show remarkable time variation.

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 18, August 2016, Pages 255-262
نویسندگان
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