Zeng, Hongjun
[VerfasserIn];
Lu, Ran
[VerfasserIn]
Asymmetric High-Frequency Dynamic Connectedness and Time-Frequency Dependence Among Chinese Stock and Major Commodity Markets Around the COVID-19 Pandemic
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Titel:
Asymmetric High-Frequency Dynamic Connectedness and Time-Frequency Dependence Among Chinese Stock and Major Commodity Markets Around the COVID-19 Pandemic
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 18, 2022 erstellt
Beschreibung:
This research examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. Applying a DCC-GARCH-base volatility connectedness model and the cross-wavelet transform, we examine the transmission of risk patterns in these markets before and during the COVID-19 outbreak, as well as the leading lag relationship and synergistic movements between different time domains. First, we find that dynamic total spillovers are stronger after the COVID-19 outbreak. Chinese stocks and corn have been net spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility relative to other markets (net pairwise directional connectedness) in the system as a whole. In terms of price correlation, there is some connection to the connectedness results, with all commodity markets except soybeans and wheat showing significant dependence on Chinese equities in the medium/long term following the COVID-19 outbreak. Secondly, the medium-to long-term frequency of the crude oil market and copper market are highly dependent on the Chinese stock market, especially after the COVID-19 outbreak. Meanwhile, the dependence among the Chinese stock market, and gold and corn is weaker in the short term, but strengthens in the medium term. Finally, the copper market is the main source of risk for the Chinese stock market, while the wheat market sends the least shocks to the Chinese stock market. The findings we report will have a direct impact on a number of important decisions made by investors and policymakers