Return spillover across China's financial markets
Pacific-Basin Finance Journal
; : 102057, 2023.
Artigo
em Inglês
| ScienceDirect | ID: covidwho-2327736
ABSTRACT
This paper examines return spillovers across China's bond, stock, and offshore (CNH/USD) and onshore (CNY/USD) exchange rate markets. We find evidence of a major transmitting role of the exchange rate market. Our results suggest that the Renminbi exchange rate market can reflect more market information and transmit it to bond and stock markets. Moreover, macroeconomic factors such as the monetary policy and economic policy uncertainty, the 2015 Renminbi exchange rate reform, and the COVID-19 pandemic are important determinants of the CNY/USD and CNH/USD spillover transmissions. Our results provide practical implications for investors, multinational corporations, and policymakers in China.
Texto completo:
Disponível
Coleções:
Bases de dados de organismos internacionais
Base de dados:
ScienceDirect
Idioma:
Inglês
Revista:
Pacific-Basin Finance Journal
Ano de publicação:
2023
Tipo de documento:
Artigo
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