Time-frequency volatility spillovers between Chinese renminbi | ResearchBunny

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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

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