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

Zhou, X., Zhang, J. and 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 . pp. 196-213.

Link to Published Version: 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.

Item Type: Journal Article
Murdoch Affiliation(s): Murdoch Business School
Publisher: Elsevier Inc.
Copyright: © 2021 Elsevier Inc
URI: http://researchrepository.murdoch.edu.au/id/eprint/59477
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