Impact persistence of stock market risks in commodity markets: Evidence from China.

The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to...

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Autores principales:	Shusheng Ding, Zhipan Yuan, Fan Chen, Xihan Xiong, Zheng Lu, Tianxiang Cui
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/f968c5fcb5934221abf706819a0973a2
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spelling	oai:doaj.org-article:f968c5fcb5934221abf706819a0973a22021-12-02T20:05:57ZImpact persistence of stock market risks in commodity markets: Evidence from China.1932-620310.1371/journal.pone.0259308https://doaj.org/article/f968c5fcb5934221abf706819a0973a22021-01-01T00:00:00Zhttps://doi.org/10.1371/journal.pone.0259308https://doaj.org/toc/1932-6203The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets' responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.Shusheng DingZhipan YuanFan ChenXihan XiongZheng LuTianxiang CuiPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 16, Iss 11, p e0259308 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Shusheng Ding Zhipan Yuan Fan Chen Xihan Xiong Zheng Lu Tianxiang Cui Impact persistence of stock market risks in commodity markets: Evidence from China.
description	The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets' responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.
format	article
author	Shusheng Ding Zhipan Yuan Fan Chen Xihan Xiong Zheng Lu Tianxiang Cui
author_facet	Shusheng Ding Zhipan Yuan Fan Chen Xihan Xiong Zheng Lu Tianxiang Cui
author_sort	Shusheng Ding
title	Impact persistence of stock market risks in commodity markets: Evidence from China.
title_short	Impact persistence of stock market risks in commodity markets: Evidence from China.
title_full	Impact persistence of stock market risks in commodity markets: Evidence from China.
title_fullStr	Impact persistence of stock market risks in commodity markets: Evidence from China.
title_full_unstemmed	Impact persistence of stock market risks in commodity markets: Evidence from China.
title_sort	impact persistence of stock market risks in commodity markets: evidence from china.
publisher	Public Library of Science (PLoS)
publishDate	2021
url	https://doaj.org/article/f968c5fcb5934221abf706819a0973a2
work_keys_str_mv	AT shushengding impactpersistenceofstockmarketrisksincommoditymarketsevidencefromchina AT zhipanyuan impactpersistenceofstockmarketrisksincommoditymarketsevidencefromchina AT fanchen impactpersistenceofstockmarketrisksincommoditymarketsevidencefromchina AT xihanxiong impactpersistenceofstockmarketrisksincommoditymarketsevidencefromchina AT zhenglu impactpersistenceofstockmarketrisksincommoditymarketsevidencefromchina AT tianxiangcui impactpersistenceofstockmarketrisksincommoditymarketsevidencefromchina
_version_	1718375459813588992

Impact persistence of stock market risks in commodity markets: Evidence from China.

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