How does news flow affect cross-market volatility spillovers? Evidence from China's stock index futures and spot markets
Document Type
Journal Article
Publication Title
International Review of Economics and Finance
Volume
73
First Page
196
Last Page
213
Publisher
Elsevier
School
School of Business and Law
RAS ID
32676
Funders
Sumitomo Foundation
Abstract
© 2021 Elsevier Inc. This paper examines how news flow affects cross-market volatility spillovers and price discovery process in China's stock market and index futures market. We find robust evidence confirming dominant predicting power of the stock market in the price discovery process, and presence of asymmetric and persistent volatility effects. The results show that volatility spillovers are bidirectional between stock index futures and spot prices, and news release has significant and positive association with the dynamic conditional correlation between the index spot and the index futures markets. These have important implications for effective hedging and portfolio management decision in emerging markets.
DOI
10.1016/j.iref.2021.01.003
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Comments
Zhou, X., Zhang, J., & Zhang, Z. (2021). How does news flow affect cross-market volatility spillovers? Evidence from China's stock index futures and spot markets. International Review of Economics & Finance, 73, 196-213. https://doi.org/10.1016/j.iref.2021.01.003