RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan

Qin, Fengming; Zhang, Junru; Zhang, Zhaoyong

doi:10.3390/risks6040120

Cited by 11 publications

(6 citation statements)

References 67 publications

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“…The integration of the futures market with the spot market is one of the most relevant areas of this paper. Though there are studies between these two markets, only a few discuss the integration of volatility in both markets (Bessembinder and Seguin 1992;Chan et al 2018;Chang et al 2017;Qin et al 2018). Most of the studies are on prices, returns, and price discovery in one market caused by the other markets.…”

Section: Review Of Literaturementioning

confidence: 99%

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Rastogi

Athaley

2019

JRFM

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The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options, in order to provide input for hedging purposes and the formulation of policies for derivatives. The generalized method of moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the volatility in the options market is not associated with volatility in spot and futures market. However, volatility in spot and futures markets are associated with each other. As a consequence, investors can use options for hedging purposes and policy makers do not need to be concerned about the imminent impact of options markets on spot markets. To the best of the authors’ knowledge, there is no other study which discusses the integration of volatility in the three markets. Moreover, the finding of this paper that the options market behaves differently compared to the futures market has also not been discussed in earlier studies.

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Section: Review Of Literaturementioning

confidence: 99%

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Rastogi

Athaley

2019

JRFM

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“…To examine the impact of conditional volatility on returns, a conditional variance term can be added into the mean equation to contracture the EGARCH in mean model. In this study, we follow Ho et al (2017Ho et al ( , 2018 and Qin et al (2018) to extend the EGARCH-M (1,1) model by including other market factors such as size premium, value premium, and currency risk in the mean equations to examine the funds' reaction to volatility timing.…”

Section: Methodology and The Modelmentioning

confidence: 99%

Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?

Shen

Tsui

Zhang

2019

Risks

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The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically assess whether the funds under the CPF Investment Scheme outperform non-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML factors for non-US based funds are constructed from stock market data to exclude the contribution of the size effect and the BE/ME effect. The results show that volatility timing is one of the factors contributing to the excess return of funds. However, funds’ volatility-timing seems to be country-specific. Most of the Japanese equity funds and global equity funds under the CPF Investment Scheme are found to have the ability of volatility timing. This finding contrasts with the existing studies on Asian, ex-Japan funds and Greater China funds. Moreover, there is no evidence that funds under the CPF Investment Scheme show a better group performance of volatility timing.

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“…Consequently, Yuan hits its strongest level against US dollars (Ping 2021). This policy-induced RMB volatility affects the Chinese financial market (Xiong and Han 2015;Qin et al 2018) including solar energy firms.…”

Section: Theoretical and Empirical Backgroundmentioning

confidence: 99%

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

Yahya

Razzaq

2022

Environ Sci Pollut Res

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The study investigates the asymmetric effect of temperature, exchange rate, metals (rare metals and electrical conductors), and investor sentiments on solar stock price performance in China. The novel econometric techniques, i.e., QARDL (quantile autoregressive distributive lag) approach and Granger causality-in-quantiles to analyze the results. In both short-and long-run estimations, the findings suggest that rare metals (cadmium, germanium, indium, and selenium) and electrical conductors (silver, aluminum, and copper) have significant and positive linkage with solar energy stocks at different quantiles based on bullish, bearish, and normal market conditions. On the other hand, negative effects are found for temperature, RMB exchange rate, and investor sentiments in both the short-and long-run. In the short run, the effect of exchange rate varies across different quantiles but it confines to only lower quantiles (bearish market condition) in the longer run. Solar stocks are more prone to investor sentiments under higher quantiles (bullish market conditions). Lastly, we find that temperature is not merely a behavioral anomaly for the solar energy market as it spreads across middle quantiles (normal market conditions) in the longer run. The findings of Granger causality in quantiles further confirm the results of QARDL.

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RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan

Cited by 11 publications

References 67 publications

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

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