Article
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate
Journal of Futures Markets
ORCID Identifiers
Document Type
Article
Publication Date
7-1-2021
Abstract
We analyze the return and volatility connectedness between the three Chinese exchange rate markets, namely, the onshore market, the offshore market, and the nondeliverable forward offshore market. Our results show that connectedness exhibits an increasing trend with fluctuations during periods of internal reforms and external shocks. For example, the connectedness increased with China's exchange rate reform on August 11, 2015 but dropped after that. Furthermore, we document that the offshore spot and a forward market dominated the other rates in return spillovers. In contrast, both the offshore and onshore forward rates dominated the other rates in volatility spillovers.
DOI Link
10.1002/fut.22243
Publisher
Wiley
Disciplines
Keywords
- Impulse-response Analysis,
- RMB,
- Currency,
- Markets,
- Price
Indexed in Scopus
No
Open Access
No
Citation Information
Yanping Zhao, Zaghum Umar and Vo Xuan Vinh. "Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate" Journal of Futures Markets Vol. 41 Iss. 11 (2021) p. 1843 - 1860 ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/0270-7314" target="_blank">0270-7314</a> Available at: http://works.bepress.com/zaghum-umar/57/