Li, Xindan; Zhang, Bing - In: Emerging Markets Finance and Trade 49 (2013) S2, pp. 23-42
There is an urgent need to understand the spillover and cojump effects between the U.S. and Chinese stock markets. The paper finds that since July 2005, the U.S. stock market has caused short-run spillover effects on returns on the Chinese stock market. More specifically, price changes in the...