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

•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.