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

被引：10
|
作者：
Zhou, Xinmiao [1 ]
Zhang, Junru [2 ]
Zhang, Zhaoyong [3 ]
机构：
[1] Ningbo Univ, Business Sch, Ningbo, Peoples R China
[2] Murdoch Univ, Murdoch Business Sch, Murdoch, WA, Australia
[3] Edith Cowan Univ, Sch Business & Law, 270 Joondalup Dr, Joondalup, WA 6027, Australia
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2021年 / 73卷
关键词：
Chinese stock index futures market; Price discovery; Volatility spillover effect; Public information arrival; PUBLIC INFORMATION ARRIVAL; LEAD-LAG RELATIONSHIP; PRICE DISCOVERY; ERROR CORRECTION; LONG-MEMORY; RATES; COINTEGRATION; LIQUIDITY; SENTIMENT;
D O I：
10.1016/j.iref.2021.01.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页码：196 / 213
页数：18
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