Huiyan Dong

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This paper examined the volatility spillover effects between futures market and spot market in China, using both VAR model and TVP-VAR model. This study found strong bi-directional volatility spillovers between CSI futures and spot markets, and the change of futures' volatility decreased the change of spot market's volatility. This results support the(More)
Since the 2008 Financial Crisis, trade of convertible bonds in China has tended to be dull with its market size shrinking, which is in sharp contrast with the previous market boom. One reason for this contrast is that the price of convertible bonds is mainly dominated by market sentiment, rather than the underlying company stock prices, and that there is no(More)
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