Connectedness and risk transmission of China's stock and currency markets with global commodities

This study investigates the transmission of risk shocks between China's stock and currency markets with global commodities (including crude oil, natural gas, gold, silver, copper, palladium, and platinum) over time and across different frequencies, while accounting for the role of China's economic policy uncertainty (EPU), from January 1, 2016, to June 30, 2022. Our findings reveal that both the time and frequency domain total connectedness index varies over time and suggest that both China's stock and currency markets can provide more hedge advantage for turmoil periods. Return shocks between global commodities and China's stock and currency markets have short-lasting effects when considering the frequency domain connectedness analysis. These return shocks typically originate from China's stock market and currency and transmit to the commodity market, except for natural gas. Additionally, an increase in China's EPU indicates bad news for the overall connectedness of all considered markets and the gold and silver markets.