Frequency volatility connectedness across different industries in China

Abstract

Utilizing the advantageous method of Barunik and Krehlik (2018), we examine the frequency connectedness of equity volatilities across 12 industries in China from October 2003 to April 2018. The results indicate that the main targets of risks in China are Banking and Real Estate, while the main sources of risks are Construction and Materials, Industrial Transportation, and Chemicals. The study also highlights the importance of the use of frequency connectedness method such that the main targets and sources of risks at different frequencies over different time periods can be detected, providing essential information for the monitoring of the financial market.