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Impact persistence of stock market risks in commodity markets: Evidence from China

The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to...

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Autores principales: Ding, Shusheng, Yuan, Zhipan, Chen, Fan, Xiong, Xihan, Lu, Zheng, Cui, Tianxiang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8575302/
https://www.ncbi.nlm.nih.gov/pubmed/34748595
http://dx.doi.org/10.1371/journal.pone.0259308
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author Ding, Shusheng
Yuan, Zhipan
Chen, Fan
Xiong, Xihan
Lu, Zheng
Cui, Tianxiang
author_facet Ding, Shusheng
Yuan, Zhipan
Chen, Fan
Xiong, Xihan
Lu, Zheng
Cui, Tianxiang
author_sort Ding, Shusheng
collection PubMed
description The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets’ responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.
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spelling pubmed-85753022021-11-09 Impact persistence of stock market risks in commodity markets: Evidence from China Ding, Shusheng Yuan, Zhipan Chen, Fan Xiong, Xihan Lu, Zheng Cui, Tianxiang PLoS One Research Article The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets’ responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China. Public Library of Science 2021-11-08 /pmc/articles/PMC8575302/ /pubmed/34748595 http://dx.doi.org/10.1371/journal.pone.0259308 Text en © 2021 Ding et al https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Ding, Shusheng
Yuan, Zhipan
Chen, Fan
Xiong, Xihan
Lu, Zheng
Cui, Tianxiang
Impact persistence of stock market risks in commodity markets: Evidence from China
title Impact persistence of stock market risks in commodity markets: Evidence from China
title_full Impact persistence of stock market risks in commodity markets: Evidence from China
title_fullStr Impact persistence of stock market risks in commodity markets: Evidence from China
title_full_unstemmed Impact persistence of stock market risks in commodity markets: Evidence from China
title_short Impact persistence of stock market risks in commodity markets: Evidence from China
title_sort impact persistence of stock market risks in commodity markets: evidence from china
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8575302/
https://www.ncbi.nlm.nih.gov/pubmed/34748595
http://dx.doi.org/10.1371/journal.pone.0259308
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