Abstract
This paper proposes a predictive CoVaR measure to analyze asynchronous risk spillovers between the Chinese stock and futures market. We jointly model the intraday CoVaR dynamics using an extended MV-CAViaR model. The results show the presence of asymmetric spillovers under different market states, different trading rules, and different confidence levels. Specifically, there exist significant downside spillovers and insignificant upside spillovers. Moreover, the futures (stock) market becomes dominant in risk transmission during bearish (bullish) market periods. Furthermore, high margin requirements would weaken the spillover effects of the futures market, but it would also strengthen the spillover effects of the stock market.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
