Abstract:
To investigate the financialization of Chinese commodity future market, this paper examines the dynamic spillovers and time-varying characters between Chinese commodity future market and international stock market in terms of returns and volatilities by introducing the spillover index. We find that there exist significant return and volatility spillovers between Chinese commodity future market and international stock markets, especially during the 2008 global financial crisis and 2011 European debt crisis. Moreover, Chinese commodity future are net receivers of the shocks from international stock markets in both returns and volatility level. These findings suggest that the spillover mechanism of Chinese commodity future market performs as efficiently as that of international market, while the degree of financialization in Chinese market is still progressing.
尹力博, 柳依依. 中国商品期货金融化了吗？—来自国际股票市场的证据[J]. 金融研究, 2016, 429(3): 189-206.
YIN Libo, LIU Yiyi. Are Chinese Commodity Futures Markets Financialized? Evidence from International Stock Markets. Journal of Financial Research, 2016, 429(3): 189-206.
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