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Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis

Economics

Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis

L. Wang, X. Xiong, et al.

This study conducted by Liang Wang, Xianyan Xiong, and Ziqiu Cao delves into the intriguing dynamics of volatility spillovers between the onshore and offshore Chinese renminbi markets during the COVID-19 crisis. Discover how these spillovers evolve with timescale and highlight the leadership of the onshore market in price discovery amidst market turbulence.

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Playback language: English
Abstract
This article investigates the time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis. Using wavelet analysis, the study finds that volatility spillovers are gradually significant and bidirectional as the timescale increases, significantly amplified after the COVID-19 outbreak. The spillovers decompose into sub-spillovers across different timescales, likely due to heterogeneous investor behaviors. During the crisis, the onshore market led in price discovery.
Publisher
Humanities & Social Sciences Communications
Published On
Aug 01, 2023
Authors
Liang Wang, Xianyan Xiong, Ziqiu Cao
Tags
volatility spillovers
Chinese renminbi
COVID-19 crisis
wavelet analysis
price discovery
investor behavior
onshore offshore markets

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