We investigate the intraday return-volatility correlation in Chinese financial market with high-frequency transaction data of individual stocks. In contrast to the widely accepted theory of volatility asymmetry (i.e. negative returns induce higher price volatilities than positive ones), we show...

A Copula Contagion Index (CCI) is established to measure financial contagion, based on the time-varying copula function. Empirical studies performed on the crisis spillover of US Subprime Mortgage Crisis demonstrate the efficiency of CCI. The empirical results from event study, change-point...