How does news flow affect cross-market volatility spillovers? Evidence from China's stock index futures and spot markets

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.

Document Type

Journal Article

Date of Publication

2021

Volume

73

Publication Title

International Review of Economics and Finance

Publisher

Elsevier

School

School of Business and Law

RAS ID

32676

Funders

Sumitomo Foundation

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

Copyright

subscription content

First Page

196

Last Page

213

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Link to publisher version (DOI)

10.1016/j.iref.2021.01.003