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Advanced Economic Seminars 276: How does news flow affect cross-market volatility spillovers? Evidence from the Chinese stock index spot and futures markets

Publisher:   Time:2019-12-16 11:30:46

Topic: How does news flow affect cross-market volatility spillovers? Evidence from the Chinese stock index spot and futures markets


Lecturer: Zhaoyong ZHANG, Edith Cowan University, Australia


Time: 3:00-4:30 p.m. December 19th, 2019 (Thursday)


Venue: B219, Zhixin Building


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 the dominant predicting power of the stock market in the price discovery process, and the presence of asymmetric and persistent volatility effects. The results show that volatility spillovers are bidirectional between the index spot rates and the index futures rates, and news release has significant and positive association with the dynamic conditional correlation between the index spot market and the index futures market. These have important implications for portfolio decision making and hedging strategies in emerging markets.

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