Sectoral volatility connectedness in China’s stock market: A multiscale analysis
Abstract
ABSTRACT This study employs a novel combination of the Empirical Mode Decomposition and LASSO-VAR based spillover index approach to conduct a multiscale analysis of volatility connectedness among ten sectors in the Chinese stock market. The Industrials, Materials, and Consumer Discretionary sectors are identified as significant sources of volatility spillover in both the short and long term. The total volatility connectedness within the market exhibits time-varying characteristics, exhibiting a pronounced increase during periods of extreme events. Overall, it is observed that the total volatility spillovers among sectors are substantially greater in the short term compared to those identified in the long term. These findings hold important implications for investors and policymakers in the Chinese stock market.
Fields of Study & Subjects
Financial Risk and Volatility Modeling
Complex Systems and Time Series Analysis
Market Dynamics and Volatility
Publication details
- Journal / source
- Finance Research Open
- Publisher
- Elsevier BV
- Volume
- 2
- Issue
- 1
- Pages
- 100095–100095
- Publication date
- 20 January 2026
- Language
- EN