| Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets | |
Luo, Jiawen; Marfatia, Hardik A.; Ji, Qiang2,3 ; Klein, Tony4,5
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| Source Publication | ENERGY ECONOMICS
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| Keyword | Futures markets MHAR-CSV model Co-volatility Time-varying volatility connectedness Asymmetric volatility spillover Commodity markets |
| Abstract | We construct a multivariate heterogeneous autoregressive model specified with common stochastic volatility and the student-t distribution, the MHAR-CSV-t model, to investigate co-movements and high-frequency volatility transmissions between the WTI futures market and China's stock and commodity futures markets. Additionally, we analyse the time-varying volatility connectedness between these markets. We find that between these mar-kets, the WTI futures market features the most episodes of volatility spikes, particularly since 2014. We find several structural breaks in realised volatility and its decomposition in positive and negative volatility. The re-sults of the time-varying volatility connectedness identify corn, gold, and equity futures as persistent trans-mitters; the copper futures market as a net receiver; and oil futures as assuming both roles in the spillovers of volatility shocks across markets. We also find significant asymmetries in their volatility decomposition and their spillovers across these markets. |
| 2022 | |
| Volume | 117 |
| ISSN | 0140-9883 |
| Subtype | Article |
| DOI | 10.1016/j.eneco.2022.106466 |
| WOS Keyword | CRUDE-OIL ; STOCK MARKETS ; STOCHASTIC VOLATILITY ; COMMODITY FUTURES ; LONG-MEMORY ; PRICES ; EQUITY ; SPILLOVER ; FOOD ; CONNECTEDNESS |
| Language | 英语 |
| WOS Research Area | Business & Economics |
| WOS Subject | Economics |
| WOS ID | WOS:000909934700001 |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.casisd.cn/handle/190111/12037 |
| Collection | 系统分析与管理研究所 |
| Affiliation | 1.South China Univ Technol, Sch Business Adm, Guangzhou 510640, Peoples R China 2.Marfatia, Hardik A.] NE Illinois Univ, Dept Econ, 5500 N St Louis Ave, Chicago, IL 60625 USA 3.Chinese Acad Sci, Inst Sci & Dev, Beijing 100190, Peoples R China 4.Univ Chinese Acad Sci, Sch Publ Policy & Management, Beijing 100049, Peoples R China 5.Queens Univ, Queens Management Sch, Belfast, North Ireland 6.Univ Barcelona, Dept Econometr Stat & Appl Econ, Barcelona, Spain |
| Recommended Citation GB/T 7714 | Luo, Jiawen,Marfatia, Hardik A.,Ji, Qiang,et al. Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets[J]. ENERGY ECONOMICS,2022,117. |
| APA | Luo, Jiawen,Marfatia, Hardik A.,Ji, Qiang,&Klein, Tony.(2022).Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets.ENERGY ECONOMICS,117. |
| MLA | Luo, Jiawen,et al."Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets".ENERGY ECONOMICS 117(2022). |
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