TY - JOUR
T1 - How does news flow affect cross-market volatility spillovers? Evidence from China's stock index futures and spot markets
AU - Zhou, Xinmiao
AU - Zhang, Junru
AU - Zhang, Zhaoyong
N1 - Publisher Copyright:
© 2021 Elsevier Inc.
PY - 2021/5
Y1 - 2021/5
N2 - 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.
AB - 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.
KW - Chinese stock index futures market
KW - Price discovery
KW - Public information arrival
KW - Volatility spillover effect
UR - http://www.scopus.com/inward/record.url?scp=85099699924&partnerID=8YFLogxK
U2 - 10.1016/j.iref.2021.01.003
DO - 10.1016/j.iref.2021.01.003
M3 - Article
AN - SCOPUS:85099699924
SN - 1059-0560
VL - 73
SP - 196
EP - 213
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
ER -