Volatility spillovers of cloud stocks: Evidence from China using the dynamic connectedness approach

被引：0
|
作者：
Lin, Lichao [1 ]
Cheung, Adrian [2 ,4 ]
Yan, Wan-Lin [2 ,3 ]
机构：
[1] Guangdong Univ Sci & Technol, Fac Finance & Econ, Dongguan, Peoples R China
[2] City Univ Macau, Fac Finance, Taipa, Peoples R China
[3] Huizhou Univ, Dept Math & Stat, Huizhou, Guangdong, Peoples R China
[4] City Univ Macau, Fac Finance, Ave Padre Tomas Pereira, Taipa, Macao, Peoples R China
来源：
ACCOUNTING AND FINANCE | 2024年 / 64卷 / 03期
关键词：
cloud stocks; connectedness; VAR; volatility spillover; IMPULSE-RESPONSE ANALYSIS; ECONOMIES;
D O I：
10.1111/acfi.13248
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Based on daily data from 2013 to 2022, this study examines the spillover effects of volatility between cloud stocks and other asset classes (global stocks, treasury bonds, gold and crude oil) using the VAR connectedness approach. The results show that there is a significant spillover effect from global stocks and crude oil markets to the cloud stock market. The spillover effects become stronger whenever there are shocks such as economic crisis, turbulence in the international financial markets, COVID-19 and global inflation. However, nearly 91% of the variations of cloud stocks come from within, suggesting that the diversification/hedging value of cloud stocks is potentially high.
引用
收藏
页码：3095 / 3109
页数：15
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