Financial crises and dynamic spillovers among Chinese stock and commodity futures markets

This study examines the dynamics of return and volatility spillover across Chinese stock and four commodity futures, namely, CSI 300 index, aluminium, copper, fuel oil, and natural rubber, by employing both the multivariate DECO-GARCH model and the spillover index model. In particular, we investigate the dynamics of return and volatility spillover indices that reveal the intensity and direction of transmission during the recent financial crises,...