Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate
研究中国在岸、离岸及无本金交割远期外汇市场之间的收益和波动关联性，发现关联性在内部改革和外部冲击期间呈上升趋势，且离岸即期和远期市场在收益溢出中占主导，而离岸与在岸远期市场在波动溢出中占主导。
Abstract We analyze the return and volatility connectedness between the three Chinese exchange rate markets, namely, the onshore market, the offshore market, and the nondeliverable forward offshore market. Our results show that connectedness exhibits an increasing trend with fluctuations during periods of internal reforms and external shocks. For example, the connectedness increased with China's exchange rate reform on August 11, 2015 but dropped after that. Furthermore, we document that the offshore spot and a forward market dominated the other rates in return spillovers. In contrast, both the offshore and onshore forward rates dominated the other rates in volatility spillovers.