This paper examines pairwise intercity price-volume dynamics in China using novel daily transaction prices and volume dataset from 32 Chinese cities. Despite geographical disparity and time variations, the volume-volume dynamic relationship plays a noticeably more significant role than...

Proposing and applying a new spillover index approach based on data-determined structural vector autoregression to measure connectedness, we examine the daily housing market information transmission via transaction volume among Chinese city-level housing markets from 2009 to 2018. We document...

Applying a proposed spillover index of high-dimensional generalized VAR framework, this paper, for the first time, explores housing price spillovers among 69 large- and medium-sized Chinese cities from July 2005 to June 2015. We find that city-level monthly housing prices in China are highly...

We examine the price discovery performance of China’s crude oil futures traded on the Shanghai International Energy Exchange (INE) for the spot prices of 19 types of deliverable and non-deliverable Asian crude oil. We find evidence for the INE crude oil futures price discovery function even at...

Using a modified spillover index approach from the perspective of financial shocks transmission, this study is the first to explore China’s financial institution (FI) network after the global financial crisis, allowing for interactions with the financial sectors of four major global economies....