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
相关论文
共 50 条
  • [21] The volatility spillover between battery metals and future mobility stocks: Evidence from the time-varying frequency connectedness approach
    Cagli, Efe Caglar
    RESOURCES POLICY, 2023, 86
  • [22] Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets
    Chen, Zhian
    Jiang, Hai
    Li, Donghui
    Sim, Ah Boon
    EMERGING MARKETS FINANCE AND TRADE, 2010, 46 (06) : 140 - 157
  • [23] Quantile volatility connectedness among themes and sectors: Novel evidence from China
    Zhou, Bin
    Shi, Huai-Long
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2024, 98
  • [24] Physical climate risk attention and dynamic volatility connectedness among new energy stocks
    Gong, Xu
    Liao, Qin
    ENERGY ECONOMICS, 2024, 136
  • [25] Dynamic Connectedness and Investment Strategies between Commodities and ESG Stocks: Evidence from India
    Sharma, Ishwar
    Bamba, Meera
    Verma, Bhawana
    Verma, Bharti
    AUSTRALASIAN ACCOUNTING BUSINESS AND FINANCE JOURNAL, 2024, 18 (03) : 67 - 84
  • [26] The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach
    Yousaf, Imran
    Pham, Linh
    Goodell, John W.
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2023, 82
  • [27] Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China
    Zhou, Zhou
    Dong, Huiyan
    Wang, Shouyang
    2ND INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT, ITQM 2014, 2014, 31 : 721 - 730
  • [28] Dynamic and directional network connectedness of crude oil and currencies: Evidence from implied volatility
    Singh, Vipul Kumar
    Nishant, Shreyank
    Kumar, Pawan
    ENERGY ECONOMICS, 2018, 76 : 48 - 63
  • [29] Dynamic connectedness between China green bond, carbon market and traditional financial markets: Evidence from quantile connectedness approach
    Zhang, He
    Gong, Zhenting
    Yang, Yunglieh
    Chen, Fan
    FINANCE RESEARCH LETTERS, 2023, 58
  • [30] Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
    Cunado, Juncal
    Gabauer, David
    Gupta, Rangan
    FINANCIAL INNOVATION, 2024, 10 (01)
12345