Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets

doi:10.1016/j.eneco.2022.106466

CASISD OpenIR > 系统分析与管理研究所

	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, Tony 4,5
发表期刊	ENERGY ECONOMICS
关键词	Futures markets MHAR-CSV model Co-volatility Time-varying volatility connectedness Asymmetric volatility spillover Commodity markets
摘要	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
卷号	117
ISSN	0140-9883
文章类型	Article
DOI	10.1016/j.eneco.2022.106466
关键词[WOS]	CRUDE-OIL ; STOCK MARKETS ; STOCHASTIC VOLATILITY ; COMMODITY FUTURES ; LONG-MEMORY ; PRICES ; EQUITY ; SPILLOVER ; FOOD ; CONNECTEDNESS
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000909934700001
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/12037
专题	系统分析与管理研究所
作者单位	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
推荐引用方式 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).