Volatility spillover effect between financial markets:evidence since the reform of the RMB exchange rate mechanism

The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.

Analysis of Volatility Spillover Effect of Soybean Price between Domestic and International Markets

Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increases the difficulties in implementing price stabilization policy for the government. This paper analyzes the volatility spillovers in soybean prices between international and domestic markets using the multivariate VAR-BEKK-GARCH model based on the data set from December 22,2004 to December 19,2014. The estimate results indicate that there are volatility spillover effects from domestic futures market to spot market and bilateral spillover between international futures market and domestic spot market. In order to prevent market manipulation and to reduce the impacts of price volatility in international soybean market on Chinese market,this paper proposes the following policy measures such as establishing early warning mechanism for soybean price fluctuations,improving soybean futures contract design and strengthening trading risk management mechanism,amplifying information disclosure system,and regularizing speculation activities of big traders.

Volatility Spillover Effect of the International Crude Oil Futures Price on Composite and Sector Indices between the Chinese and Australian Stock Markets

As a type of non-renewable industrial resource,petroleum is of great strategic significance to the development of each nation.Ever since the 19th century,an array of oil crises have incurred certain downturn of the world economy.Pertinent studies have implied that financial crisis is always prone to be accompanied with oil crisis,yet the relevance of crude oil to the stock market,the barometer of the macro-economy,is ambiguous.In order to avoid the risks induced by the volatility of oil price,the oil futures market has appeared,and at the same time,the financial property of crude oil has become far more evident.Owing to lack of mature mining and refining technology,China still imports large amounts of oil from abroad at present.Thus,the economy of China is susceptible to fluctuation in petroleum price.As for Australia,the only net importer among the member countries of the International Energy Agency(IEA),it fails to attain the target of holding 90 days of fuel reserves set by the agency.However,in 2013,Australian Lincoln Energy announced that a gigantic shale oil field with an estimated value of 21 trillion US dollars was found in the South of Australia,and that if that field is mined,Australia has the possibility to turn into a net exporter of crude oil.It can be expected that the Australia’s economic conditions would be closely related to the international oil to a certain extent.Based on the approaches of the first difference and co-integration,this paper delves into the volatility spillover effect of crude oil futures on the Chinese and Australian stock markets.According to the empirical findings,in the short run,the price of crude oil futures has a greater impact on the Australian composite index than on the Chinese composite index.However,crude oil futures are negatively related to the Chinese composite index in the long run.The price of crude oil futures has no significant impact on the Chinese sector indices,but it has a certain impact on the Australian utilities,energy,materials,and industrial sector indices.In the Chinese stock market,the movement of short-run effect to long-run effect of crude oil futures on sector indices is in the reverse direction.Finally,the price of crude oil futures has a significant volatility spillover effect only on the Australian utilities sector index.

The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures

This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short-and long-run causality measures proposed by Dufour et al.(2012).We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality.Specifically,in the period of poor market quality,the volatility asymmetry will vanish or even be reversed,which is mainly due to the sharp decline of the leverage effects.Moreover,the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis.Finally,we use other market quality indices as auxiliary variables in the robustness analysis and get similar results.

Biogenic volatile organic compound analyses by PTR-TOF-MS: Calibration, humidity effect and reduced electric field dependency

Green leaf volatiles（GLVs） emitted by plants after stress or damage induction are a major part of biogenic volatile organic compounds（BVOCs）. Proton transfer reaction time-of-flight mass spectrometry（PTR-TOF-MS） is a high-resolution and sensitive technique for in situ GLV analyses, while its performance is dramatically influenced by humidity, electric field,etc. In this study the influence of gas humidity and the effect of reduced field（E/N） were examined in addition to measuring calibration curves for the GLVs. Calibration curves measured for seven of the GLVs in dry air were linear, with sensitivities ranging from 5 to10 ncps/ppbv（normalized counts per second/parts per billion by volume）. The sensitivities for most GLV analyses were found to increase by between 20% and 35% when the humidity of the sample gas was raised from 0% to 70% relative humidity（RH） at 21°C, with the exception of（E）-2-hexenol. Product ion branching ratios were also affected by humidity,with the relative abundance of the protonated molecular ions and higher mass fragment ions increasing with humidity. The effect of reduced field（E/N） on the fragmentation of GLVs was examined in the drift tube of the PTR-TOF-MS. The structurally similar GLVs are acutely susceptible to fragmentation following ionization and the fragmentation patterns are highly dependent on E/N. Overall the measured fragmentation patterns contain sufficient information to permit at least partial separation and identification of the isomeric GLVs by looking at differences in their fragmentation patterns at high and low E/N.

THE POSITIVE EFFECTS OF VOLATILE COMPONENTS IN JIAWEI WENDAN PRESCRIPTION ON THE IMPROVEMENT OF THE AUTISTIC BEHAVIOR IN RATS

The objective was to investigate the effects of volatile components in Jiawei Wendan prescription on autistic behavior in rats,to analyze the volatile constituents and then to explore its effective components based on the treatment of autism.The pregnant mice were divided into two groups according to the method that Schneider used.

Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network

This paper focuses on volatility spillover effects and considers the issue of how to measure the connectedness of networks among financial firms.To assess the network connectedness of firms from different industries,we proposed a novel procedure and applied it to 20 leading financial institutions from four industries in China’s stock markets.The results show that the total connectedness of the Chinese financial system was much higher during the stock market crisis between June 2015 and February 2016 than during stable periods of economic development.This analysis can be used to determine which firms play a dominant role in risk transmission throughout the entire system.It is suggested that the government should provide targeted regulatory policies to particular types of firms.

The impact of reporting frequency on the information quality of share price： evidence from Chinese state-owned enterprises

As a major global exchange, the Stock Exchange of Hong Kong （SEHK） only requires semi-annual reporting whereas other major exchanges including the ones in Chinese mainland require quarterly reporting. We argue against the traditional view that higher reporting frequency is necessarily more beneficial. The decision on reporting frequency depends on how the information is being processed by the recipient traders and the results are not obvious. Using a sample of Chinese companies dual- listed in both China A share market and SEHK （AH shares） as the experimental group and mainland＇s companies listed on SEHK （H shares） only as the control group, we apply the difference-in-difference （DID） method to investigate the impacts of reporting frequency on stock information quality. The results suggest that after China A share market require quarterly financial reporting for all listed companies in 2002, the information asymmetry of the H tranche of AH stocks increases. Different from prior studies, the results suggest a negative association between stock information quality and financial reporting frequency. We argue that the increased information asymmetry in the H tranche is caused by the noise spilled over from the A tranche. We conduct multivariable GARCH tests and find evidence supporting this conjecture.