{"title":"云股的波动溢出效应：使用动态关联性方法从中国获得的证据","authors":"Lichao Lin, A. Cheung, Wan‐Lin Yan","doi":"10.1111/acfi.13248","DOIUrl":null,"url":null,"abstract":"Based on daily data from 2013 to 2022, this study examines the spillover effects of volatility between cloud stocks and other asset classes (global stocks, treasury bonds, gold and crude oil) using the VAR connectedness approach. The results show that there is a significant spillover effect from global stocks and crude oil markets to the cloud stock market. The spillover effects become stronger whenever there are shocks such as economic crisis, turbulence in the international financial markets, COVID‐19 and global inflation. However, nearly 91% of the variations of cloud stocks come from within, suggesting that the diversification/hedging value of cloud stocks is potentially high.","PeriodicalId":335953,"journal":{"name":"Accounting & Finance","volume":"349 14‐15","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Volatility spillovers of cloud stocks: Evidence from China using the dynamic connectedness approach\",\"authors\":\"Lichao Lin, A. Cheung, Wan‐Lin Yan\",\"doi\":\"10.1111/acfi.13248\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Based on daily data from 2013 to 2022, this study examines the spillover effects of volatility between cloud stocks and other asset classes (global stocks, treasury bonds, gold and crude oil) using the VAR connectedness approach. The results show that there is a significant spillover effect from global stocks and crude oil markets to the cloud stock market. The spillover effects become stronger whenever there are shocks such as economic crisis, turbulence in the international financial markets, COVID‐19 and global inflation. However, nearly 91% of the variations of cloud stocks come from within, suggesting that the diversification/hedging value of cloud stocks is potentially high.\",\"PeriodicalId\":335953,\"journal\":{\"name\":\"Accounting & Finance\",\"volume\":\"349 14‐15\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-03-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounting & Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/acfi.13248\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounting & Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/acfi.13248","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
本研究基于 2013 年至 2022 年的每日数据，采用 VAR 连接性方法研究了云股票与其他资产类别（全球股票、国债、黄金和原油）之间的波动溢出效应。结果表明，全球股市和原油市场对云股票市场存在显著的溢出效应。当出现经济危机、国际金融市场动荡、COVID-19 和全球通胀等冲击时，溢出效应会变得更强。然而，云股近 91% 的变化来自内部，这表明云股的分散/套期保值价值很高。
Volatility spillovers of cloud stocks: Evidence from China using the dynamic connectedness approach
Based on daily data from 2013 to 2022, this study examines the spillover effects of volatility between cloud stocks and other asset classes (global stocks, treasury bonds, gold and crude oil) using the VAR connectedness approach. The results show that there is a significant spillover effect from global stocks and crude oil markets to the cloud stock market. The spillover effects become stronger whenever there are shocks such as economic crisis, turbulence in the international financial markets, COVID‐19 and global inflation. However, nearly 91% of the variations of cloud stocks come from within, suggesting that the diversification/hedging value of cloud stocks is potentially high.
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