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

Author

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  • Liang Wang

    (Xi’an University of Technology)

  • Xianyan Xiong

    (Xi’an University of Technology)

  • Ziqiu Cao

    (Xi’an University of Technology)

Abstract

This article investigates the time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis. By employing wavelet analysis, we find that: (i) As the timescale increases, the volatility spillovers between renminbi onshore and offshore markets are gradually significant and bidirectional, and they have increased significantly after the COVID-19 outbreak. (ii) The significant volatility spillovers of the two markets are decomposed into many sub-spillovers on different timescales, most possibly precipitated by heterogeneous behaviors across various investment horizons. (iii) During the COVID-19 crisis, the onshore market has the dominant position on price discovery and leads the offshore market.

Suggested Citation

  • Liang Wang & Xianyan Xiong & Ziqiu Cao, 2023. "Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-14, December.
    • Handle: RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01928-z
    DOI: 10.1057/s41599-023-01928-z
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    Cited by:

    1. Weikang Zhang & Isabel K. M. Yan & Yin-Wong Cheung, 2023. "The COVID-19 pandemics and import demand elasticities: evidence from China’s customs data," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-25, December.

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