Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH
Article
Article Title | Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH |
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ERA Journal ID | 212508 |
Article Category | Article |
Authors | Li, Binlin, Haneklaus, Nils and Rahman, Mohammad Mafzur |
Journal Title | Financial Innovation |
Journal Citation | 10 |
Article Number | 52 |
Number of Pages | 30 |
Year | 2024 |
Publisher | SpringerOpen |
Place of Publication | Germany |
ISSN | 2199-4730 |
Digital Object Identifier (DOI) | https://doi.org/10.1186/s40854-023-00607-x |
Web Address (URL) | https://jfin-swufe.springeropen.com/articles/10.1186/s40854-023-00607-x |
Abstract | This study examines the dynamic connectedness and hedging opportunities between CSI300 (China Security Index 300) and copper, gold, PTA (purified terephthalic acid), and soybean in China from January 09, 2008, to June 30, 2023. A TVP-VAR |
Keywords | TVP-VAR; connectedness, Spillover, Hedging efectiveness, Breitung– Candelon spectral Granger causality tests |
Contains Sensitive Content | Does not contain sensitive content |
ANZSRC Field of Research 2020 | 380107. Financial economics |
Byline Affiliations | Yunnan Agricultural University, China |
University for Continuing Education Krems, Austria | |
Freiberg University of Mining and Technology, Germany | |
School of Business |
https://research.usq.edu.au/item/z5880/dynamic-connectedness-and-hedging-opportunities-of-the-commodity-and-stock-markets-in-china-evidence-from-the-tvp-var-and-cdcc-fiaparch
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