{"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}
引用次数: 0
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.