Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH

Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH

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 and cDCC-FIAPARCH modeling framework was used for the...

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Bibliographic Details
Main Authors: Binlin Li, Nils Haneklaus, Mohammad Mafizur Rahman
Format: Article
Language:English
Published: SpringerOpen 2024-03-01
Series:Financial Innovation
Subjects:
TVP-VAR; connectedness
Spillover
Hedging effectiveness
Breitung–Candelon spectral Granger causality tests
Online Access:https://doi.org/10.1186/s40854-023-00607-x

Internet

https://doi.org/10.1186/s40854-023-00607-x

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