Beschreibung:
This study examines the dynamic connectedness and hedging opportunities between CSI300 (China Security Index 300) and copper, gold, PTA (purifed terephthalic acid), and soybean in China from January 09, 2008, to June 30, 2023. A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation. The results show that the total connectedness index can efectively capture cross-asset information transmission in China's fnancial markets. Copper returns are the dominant volatility transmitters, while CSI300, gold, and soybean returns are net recipients. The Russian-Ukraine war reinforced the safe-haven role of gold. Finally, investors with CSI300 long positions may beneft from prioritizing gold for hedging, while those with CSI300 short positions proft more from allocating gold to PTA. Portfolio managers and investors can use the fndings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.