Mo, Wan-Shin; Yang, J. Jimmy; Chen, Yu-Lun; Qin, Rong-Ling - 2022
This paper examines return spillover across China’s bond, stock, and Renminbi offshore (CNH/USD) and onshore (CNY/USD) markets. We find evidence that the major transmitting role of the exchange rate market to other markets originates from the CNH/USD market. Our result suggests that the less...