Measuring the increasing connectedness of Chinese assets with global assets: using a variance decompositions method

Abstract

This study uses the network topology of variance decompositions to investigate the connectedness of four assets (stocks, bonds, foreign exchange and commodities) across five countries (US, EU, UK, Japan and China). We find that connectedness to and from the Chinese asset markets increased significantly from 2013 to 2018, which reveals that Chinese assets have gradually become integrated into the global economy. We also investigate the volatility connectedness in economically fragile periods and find that the Chinese market acted as a transmitter of volatility in the 2015 Chinese stock crash. This finding is potentially essential to modern risk measurement and management.

Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning

“…Past studies have tested the wake‐up call hypothesis by assessing cross‐country equity volatility and crises transmission (Bekaert et al, 2014; Carvalho et al, 2015; Titman & Wei, 1999) and cross‐currency volatility transmissions (Gu & McNelis, 2013), and by comparing Islamic and non‐Islamic stocks (Akhtar & Jahromi, 2017). Yu et al (2019) investigate volatility spillover among stocks, bonds, foreign exchange and commodities in the US, EU, UK, Japan and China, while Kim and Yang (2008) test the impact of price limits on intra‐day volatility and information asymmetry in Taiwan. Studies focusing on REITs include volatility or return transmissions between REITs and stock markets (Case et al, 2012; Hoesli & Reka, 2013; Yang et al, 2012), between REITs and bond markets (Chong et al, 2009) and among EREITs, MREITs, equity and bond markets (Anderson et al, 2021; Chiang et al, 2017) among others.…”