Quantile connectedness between Chinese stock and commodity futures markets

被引：21

作者：

Rehman, Mobeen Ur ^{[1
,2
]}

Vo, Xuan Vinh ^{[3
,4
]}

Ko, Hee-Un ^{[5
]}

Ahmad, Nasir

Kang, Sang Hoon ^{[6
]}

机构：

[1] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam

[2] South Ural State Univ, 76 Lenin Prospekt, Chelyabinsk, Russia

[3] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam

[4] Univ Econ Ho Chi Minh City, CFVG, Ho Chi Minh City, Vietnam

[5] Korea Housing & Urban Guarantee Corp, Pusan, South Korea

[6] Pusan Natl Univ, PNU Business Sch, Pusan 46241, South Korea

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2023年 / 64卷

基金：

新加坡国家研究基金会;

关键词：

CSI; 300; Commodities; Quantiles; Connectedness; Spillover; IMPULSE-RESPONSE ANALYSIS; VOLATILITY; DEPENDENCE; QUALITY;

D O I：

10.1016/j.ribaf.2022.101810

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this study, we examine the static and dynamic connectedness between the conventional Chinese stock market and commodity futures (aluminum, gold, copper, steel rebar, natural rubber, and zinc). Our results show that both steel rebar and gold receive whereas zinc and copper transmit changes across all quantiles. However, spillover behavior of aluminum, natural rubber, and CSI 300 vary across different quantiles. Our results have implications for investors who are considering a mix of Chinese conventional stocks and commodity futures in their portfolios. Our findings also provide insights for investing under different market conditions by providing results for static as well as dynamic connectedness between CSI 300 and the commodities market.

引用

页数：20

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