This paper studies the intraday return and volatility spillovers of Chinese CSI 300 industry indices with high-frequency data over the period from May 2012 to June 2016. The dynamic correlation among the industries is calculated with VEC-DCC-GARCH model. The result shows that the correlations between the CSI 300 industry indices are high, but they are susceptible to fluctuation of the index. Furthermore, spillover indicators are calculated with the generalized variance decomposition method with intraday return and volatility, respectively. The time window-rolling method is applied to construct the return and volatility spillover index, which was proposed by Diebold and Yilmaz as connectedness, to discover the dynamic characteristics of CSI 300 industrial return and volatility spillover effect. We conclude that the dynamic characteristics of return and volatility spillover have strong early warning effect on systemic risk, especially the spillover dynamics of the finance and real estate industry. Finally, additional tests are performed with different sample frequencies and forecast steps to prove the robustness of our results. INDEX TERMS CSI 300 industries, spillover effect, systemic risk, early warning signal.
This paper provides evidence supporting the disciplinary role of product market competition in controlling shareholders' tunneling. We use the regulation‐induced IPO suspensions in China as shocks to product market competition. With a generalized DID design, we find that reduced product market competition threat, induced by rivals' IPO suspension, increases incumbents' inter‐corporate loans by 0.4 percentage points (pp) and the probability of committing a capital occupation violation by 3.1 pp. The effect of IPO suspension on tunneling is weakened when the product market is highly competitive and more pronounced for companies with problematic agency problems and loose governance mechanisms. Furthermore, we document a reverse effect when IPO suspensions end. This study contributes to the literature on product market competition's disciplinary role by presenting evidence supporting a plausibly causal effect of competition and controlling shareholders' tunneling.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.