The rapid development of shadow banking manifesting systematic risk has attracted increasing attention recently, but there exists a lack of empirical research in this field. This article applies co-integration analysis and error correction model using annual data during the 2001–2010 period to...

This study investigates asynchronous information transmission between stock returns and abnormal posting volume on the online stock message boards in China. Based on a robust GARCH model, the study finds that there are significant two-way volatility spillover effects: a positive volatility...