Background:The purpose of this study is to examine volatility spillover effects between stock market and foreign exchange market in selected Asian countries;Pakistan,India,Sri Lanka,China,Hong Kong and Japan.This stud...Background:The purpose of this study is to examine volatility spillover effects between stock market and foreign exchange market in selected Asian countries;Pakistan,India,Sri Lanka,China,Hong Kong and Japan.This study considered daily data from 4th January,1999 to 1st January,2014.Methods:This study opted EGARCH(Exponential Generalized Auto Regressive Conditional Heteroskedasticity)model for the purpose of analyzing asymmetric volatility spillover effects between stock and foreign exchange market.Results:The EGARCH analyses reveal bidirectional asymmetric volatility spillover between stock market and foreign exchange market of Pakistan,China,Hong Kong and Sri Lanka.The results reveal unidirectional transmission of volatility from stock market to foreign exchange market of India.The analysis reveals no evidence of volatility transmission between the two markets in reference to Japan.Conclusions:The result of this study provide valuable insights to economic policy makers for financial stability perspective and to investors regarding decision making in international portfolio and currency risk strategies.展开更多
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 for...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.展开更多
This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns,namely Bitcoin,Ethereum,Stellar,Ripple,Tether,Cardano,Litecoin,and Eos from Novembe...This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns,namely Bitcoin,Ethereum,Stellar,Ripple,Tether,Cardano,Litecoin,and Eos from November 17,2019,to January 25,2021.The study captures the financial behavior of investors during the COVID-19 pandemic as a result of national lockdowns and slowdown of production.Three different methods,namely,EGARCH,DCC-GARCH,and wavelet,are used to understand whether cryp-tocurrency markets have been exposed to extreme volatility.While GARCH family models provide information about asset returns at given time scales,wavelets capture that information across different frequencies without losing inputs from the time horizon.The overall results show that three cryptocurrency markets(i.e.,Bitcoin,Ethereum,and Litecoin)are highly volatile and mutually dependent over the sample period.This result means that any kind of shock in one market leads investors to act in the same direction in the other market and thus indirectly causes volatility spillovers in those markets.The results also imply that the volatility spillover across cryptocurrency markets was more influential in the second lockdown that started at the beginning of November 2020.Finally,to calculate the financial risk,two methods—namely,value-at-risk(VaR)and conditional value-at-risk(CVaR)—are used,along with two additional stock indices(the Shanghai Composite Index and S&P 500).Regardless of the confidence level investigated,the selected crypto assets,with the exception of the USDT were found to have substantially greater downside risk than SSE and S&P 500.展开更多
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 impl...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.展开更多
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 wo...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.展开更多
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes,while considering three pricing factors and the effect of the COVID-19 outbreak.To do so,w...The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes,while considering three pricing factors and the effect of the COVID-19 outbreak.To do so,we apply a Markov regime-switching(MS)vector autoregressive with exogenous variables(VARX)model to a daily dataset from 25-July-2016 to 1-April-2020.The results indicate various patterns of spillover in high and low volatility regimes,especially during the COVID-19 outbreak.The total spillover index varies with time and abruptly intensifies following the outbreak of COVID-19,especially in the high volatility regime.Notably,the network analysis reveals further evidence of much higher spillovers in the high volatility regime during the COVID-19 outbreak,which is consistent with the notion of contagion during stress periods.展开更多
Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures a...Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures and spot price of agricultural products of China. According to this study,there were mean spillover effect and two-way volatility spillover effect in futures and spot price of soybean,soybean oil,and soybean meal; soybean futures prices significantly guided the spot price; in the price linkage between the types,the price relationship between the soybean meal and soybean was closer than between the soybean oil and soybean.展开更多
This paper applies graphical modelling to the S & P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, d...This paper applies graphical modelling to the S & P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and after the 2008 financial crisis. We find that the depth of market integration changed significantly between the pre-crisis period and the crisis and post-crisis period. Graphical models of both return and volatility spillovers are presented for each period. We conclude that graphical models are a useful tool in the analysis of multivariate time series where tracing the flow of causality is important.展开更多
This paper examines the extent of contagion and interdependence across the six Asian emerging countries stock markets(e.g., Bangladesh, China, India, Malaysia, the Philippine, and South Korea) and then try to quantify...This paper examines the extent of contagion and interdependence across the six Asian emerging countries stock markets(e.g., Bangladesh, China, India, Malaysia, the Philippine, and South Korea) and then try to quantify the extent of the Asian emerging market fluctuations which are described by intra-regional contagion effect. These markets experienced both fast growth and key upheaval during the sample period, and thus, provide potentially rich information on the nature of border market interactions. Using the daily stock market index data from January 2002 to December 2016(breaking the 15 years data set into three sub periods; pre-crisis, crisis, and post crisis periods);particularly make attention to the global financial crisis of 20072008. The return and volatility spillovers are modeled through the GARCH(generalized autoregressive conditional heteroscedasticity),pairwise Granger causality tests, and the forecast error variance decomposition in a generalized VAR(vector auto regression) models. This paper shows that volatility and return spillovers behave very differently over time, during the pre-crisis, crisis, and post crisis periods. Importantly, Asian emerging stock markets interaction is less before the global financial crisis period. The return and volatility spillover indices touch their respective historical peaks during the global financial crisis 20072008,however Bangladeshi market faces this condition in 20092010.展开更多
Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect(SHHKSC),we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressiv...Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect(SHHKSC),we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressive conditional heteroskedasticity-X(GARCH-X)model with four exogenous variables,namely,volatilities of the corresponding stocks on the other market,volatilities of the indexes of both stock markets,and volatilities of the correlated stocks,which are selected using the dynamic conditional correlation model and bootstrap approach.Results show that after the launch of the SHHKSC,volatility spillovers are significant in both directions almost all the time,and the volatility spillover between the two stock markets tends to be larger when bidirectional capital flows under the SHHKSC increase or when important financial events occur.We also analyze the influences of the volatilities of correlated stocks and industries on the volatility spillover and volatilities of A+H stocks.The bidirectional volatility spillovers between Shanghai and Hong Kong stock markets do not change qualitatively after incorporating the volatilities of correlated stocks and industries in the GARCH-X model.Moreover,the average volatilities of the correlated stocks are shown to have significant influences on the volatilities of individual A+H stocks,and the influences increase when the local stock market shows a sharp rise or fall.Compared with the market indexes,the correlated stocks could be regarded as a more important and indispensable factor for individual A+H stocks’volatilities modeling,which may carry more information than the industry.展开更多
文摘Background:The purpose of this study is to examine volatility spillover effects between stock market and foreign exchange market in selected Asian countries;Pakistan,India,Sri Lanka,China,Hong Kong and Japan.This study considered daily data from 4th January,1999 to 1st January,2014.Methods:This study opted EGARCH(Exponential Generalized Auto Regressive Conditional Heteroskedasticity)model for the purpose of analyzing asymmetric volatility spillover effects between stock and foreign exchange market.Results:The EGARCH analyses reveal bidirectional asymmetric volatility spillover between stock market and foreign exchange market of Pakistan,China,Hong Kong and Sri Lanka.The results reveal unidirectional transmission of volatility from stock market to foreign exchange market of India.The analysis reveals no evidence of volatility transmission between the two markets in reference to Japan.Conclusions:The result of this study provide valuable insights to economic policy makers for financial stability perspective and to investors regarding decision making in international portfolio and currency risk strategies.
基金supported by four funding projects,including National Social Science Foundation of ChinaFunding Project of Education Ministry for the Development of Liberal Arts and Social Sciences+1 种基金National Natural Science Foundation of ChinaProgram for Changjiang Scholars and Innovative Research Team in University of Ministry of Education of China.
文摘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.
文摘This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns,namely Bitcoin,Ethereum,Stellar,Ripple,Tether,Cardano,Litecoin,and Eos from November 17,2019,to January 25,2021.The study captures the financial behavior of investors during the COVID-19 pandemic as a result of national lockdowns and slowdown of production.Three different methods,namely,EGARCH,DCC-GARCH,and wavelet,are used to understand whether cryp-tocurrency markets have been exposed to extreme volatility.While GARCH family models provide information about asset returns at given time scales,wavelets capture that information across different frequencies without losing inputs from the time horizon.The overall results show that three cryptocurrency markets(i.e.,Bitcoin,Ethereum,and Litecoin)are highly volatile and mutually dependent over the sample period.This result means that any kind of shock in one market leads investors to act in the same direction in the other market and thus indirectly causes volatility spillovers in those markets.The results also imply that the volatility spillover across cryptocurrency markets was more influential in the second lockdown that started at the beginning of November 2020.Finally,to calculate the financial risk,two methods—namely,value-at-risk(VaR)and conditional value-at-risk(CVaR)—are used,along with two additional stock indices(the Shanghai Composite Index and S&P 500).Regardless of the confidence level investigated,the selected crypto assets,with the exception of the USDT were found to have substantially greater downside risk than SSE and S&P 500.
基金Supported by National Social Science Foundation of China(13BJY141)
文摘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.
文摘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.
基金The fourth author acknowledges that the Deanship of Scientific Research(DSR)at King Abdulaziz University,Jeddah,Saudi Arabia funded this project,under Grant No.(FP-71-42)The third author acknowledges the support of the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2020S1A5B8103268).
文摘The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes,while considering three pricing factors and the effect of the COVID-19 outbreak.To do so,we apply a Markov regime-switching(MS)vector autoregressive with exogenous variables(VARX)model to a daily dataset from 25-July-2016 to 1-April-2020.The results indicate various patterns of spillover in high and low volatility regimes,especially during the COVID-19 outbreak.The total spillover index varies with time and abruptly intensifies following the outbreak of COVID-19,especially in the high volatility regime.Notably,the network analysis reveals further evidence of much higher spillovers in the high volatility regime during the COVID-19 outbreak,which is consistent with the notion of contagion during stress periods.
基金Supported by the Project of National Natural Science Foundation of China"Study on Risk Evaluation and Transmission of Agricultural Product Futures and Spot Market in China in the Context of Finance"(71673103)
文摘Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures and spot price of agricultural products of China. According to this study,there were mean spillover effect and two-way volatility spillover effect in futures and spot price of soybean,soybean oil,and soybean meal; soybean futures prices significantly guided the spot price; in the price linkage between the types,the price relationship between the soybean meal and soybean was closer than between the soybean oil and soybean.
文摘This paper applies graphical modelling to the S & P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and after the 2008 financial crisis. We find that the depth of market integration changed significantly between the pre-crisis period and the crisis and post-crisis period. Graphical models of both return and volatility spillovers are presented for each period. We conclude that graphical models are a useful tool in the analysis of multivariate time series where tracing the flow of causality is important.
基金Financial support provided by the Chinese Academy of Sciences and The World Academy of Sciences (CAS-TWAS)
文摘This paper examines the extent of contagion and interdependence across the six Asian emerging countries stock markets(e.g., Bangladesh, China, India, Malaysia, the Philippine, and South Korea) and then try to quantify the extent of the Asian emerging market fluctuations which are described by intra-regional contagion effect. These markets experienced both fast growth and key upheaval during the sample period, and thus, provide potentially rich information on the nature of border market interactions. Using the daily stock market index data from January 2002 to December 2016(breaking the 15 years data set into three sub periods; pre-crisis, crisis, and post crisis periods);particularly make attention to the global financial crisis of 20072008. The return and volatility spillovers are modeled through the GARCH(generalized autoregressive conditional heteroscedasticity),pairwise Granger causality tests, and the forecast error variance decomposition in a generalized VAR(vector auto regression) models. This paper shows that volatility and return spillovers behave very differently over time, during the pre-crisis, crisis, and post crisis periods. Importantly, Asian emerging stock markets interaction is less before the global financial crisis period. The return and volatility spillover indices touch their respective historical peaks during the global financial crisis 20072008,however Bangladeshi market faces this condition in 20092010.
基金supported by the National Natural Science Foundation(Nos.10905023,71131007,71532009 and 71790594)Humanities and Social Sciences Fund sponsored by Ministry of Education of the People’s Republic of China(No.17YJAZH067)the Fundamental Research Funds for the Central Universities(2015).
文摘Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect(SHHKSC),we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressive conditional heteroskedasticity-X(GARCH-X)model with four exogenous variables,namely,volatilities of the corresponding stocks on the other market,volatilities of the indexes of both stock markets,and volatilities of the correlated stocks,which are selected using the dynamic conditional correlation model and bootstrap approach.Results show that after the launch of the SHHKSC,volatility spillovers are significant in both directions almost all the time,and the volatility spillover between the two stock markets tends to be larger when bidirectional capital flows under the SHHKSC increase or when important financial events occur.We also analyze the influences of the volatilities of correlated stocks and industries on the volatility spillover and volatilities of A+H stocks.The bidirectional volatility spillovers between Shanghai and Hong Kong stock markets do not change qualitatively after incorporating the volatilities of correlated stocks and industries in the GARCH-X model.Moreover,the average volatilities of the correlated stocks are shown to have significant influences on the volatilities of individual A+H stocks,and the influences increase when the local stock market shows a sharp rise or fall.Compared with the market indexes,the correlated stocks could be regarded as a more important and indispensable factor for individual A+H stocks’volatilities modeling,which may carry more information than the industry.