Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective
Abstract
We examine the frequency dynamics of volatility spillovers between crude oil and China's stock markets in a spectral representation framework of generalized forecast error variance decomposition using sectoral stock indices data. We find evidence of total volatility spillover driven mainly by short-term spillovers. The net spillovers of the oil market are almost all positive and dominated by short-ter.m components, although the spillover during...
Paper Details
Title
Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective
Published Date
May 1, 2019
Journal
Volume
80
Pages
995 - 1009
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