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- W2921545793 abstract "Abstract We examine the frequency dynamics of volatility spillovers between crude oil and China's stock markets in a spectral representation framework of generalized forecast error variance decomposition using sectoral stock indices data. We find evidence of total volatility spillover driven mainly by short-term spillovers. The net spillovers of the oil market are almost all positive and dominated by short-ter.m components, although the spillover during China's 2015 financial crisis is negative and attributable to long-term components. In addition, there exists heterogeneity in net pairwise (frequency) spillovers between the oil and sectoral stock markets. Moreover, structural breaks in volatilities appear to be a significant feature of volatility spillovers. Finally, frequency spillovers in our system can predict future stock market volatility. These results have economic implications for investors and policymakers." @default.
- W2921545793 created "2019-03-22" @default.
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- W2921545793 date "2019-05-01" @default.
- W2921545793 modified "2023-10-14" @default.
- W2921545793 title "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective" @default.
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- W2921545793 doi "https://doi.org/10.1016/j.eneco.2019.02.019" @default.
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