文献类型：期刊文献

英文题名：Who are the net senders and recipients of volatility spillovers in China's financial markets?

作者：Wang, Gang-Jin[1,2,4,5];Xie, Chi[1,2];Jiang, Zhi-Qiang[3,4,5];Stanley, H. Eugene[4,5]

机构：[1]Hunan Univ, Business Sch, 11 Lushan South Rd, Changsha 410082, Hunan, Peoples R China;[2]Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China;[3]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[4]Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA;[5]Boston Univ, Dept Phys, Boston, MA 02215 USA

年份：2016

卷号：18

起止页码：255

外文期刊名：FINANCE RESEARCH LETTERS

收录：;WOS:【SSCI(收录号:WOS:000384397000030)】；

基金：We are grateful to the Editor-in-Chief, Professor Brian M. Lucey, and an anonymous referee for their valuable suggestions. The research is supported by the National Natural Science Foundation of China (Grant nos. 71501066 and 71373072), the China Scholarship Council (Grant no. 201506135022), the Specialized Research Fund for the Doctoral Program of Higher Education (Grant no. 20130161110031), and the Foundation for Innovative Research Groups of the National Natural Science Foundation of China (Grant no. 71521061).

语种：英文

外文关键词：Financial markets; Volatility; Spillovers; Financial crisis; VAR

摘要：Using a spillover index approach, we investigate volatility spillovers across China's stock, bond, commodity futures, and foreign exchange (FX) markets and their evolution during the period 2005-2015. We find that these four financial markets are weakly integrated. The stock market is the largest net sender of volatility spillovers to other markets, followed by the bond market, and the FX and commodity futures markets are net recipients. The time varying volatility spillovers show that the recent global financial crisis and the European sovereign debt crisis strongly influenced China's financial markets. (C) 2016 Elsevier Inc. All rights reserved.