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

X. Zhou; J. Zhang; Z. Zhang

doi:10.1016/j.iref.2021.01.003

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

Journal article

Peer reviewed

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

X. Zhou, J. Zhang and Z. Zhang

International Review of Economics & Finance, Vol.73, pp.196-213

2021

DOI: https://doi.org/10.1016/j.iref.2021.01.003

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Abstract

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.

Details

Title: How does news flow affect cross-market volatility spillovers? Evidence from China’s stock index futures and spot markets
Authors/Creators: X. Zhou (Author/Creator) - Ningbo University
J. Zhang (Author/Creator) - Murdoch University
Z. Zhang (Author/Creator) - Edith Cowan University
Publication Details: International Review of Economics & Finance, Vol.73, pp.196-213
Publisher: Elsevier Inc.
Identifiers: 991005543755507891
Copyright: © 2021 Elsevier Inc
Murdoch Affiliation: Do not use- Former Murdoch Business School
Language: English
Resource Type: Journal article

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Collaboration types: Domestic collaboration; International collaboration
Citation topics: 6 Social Sciences; 6.10 Economics; 6.10.80 Market Interdependencies
Web Of Science research areas: Business, Finance; Economics
ESI research areas: Economics & Business