This study examines the relationship between carry trade returns and those of stock markets, using daily data from January 1995 to December 2011, and evaluates volatility spillover for the Japanese, Australian, Indian and Korean stock markets, in order to assess cross-market linkages. We have...

We use the daily data of 16 commodity futures contracts traded in China and corresponding foreign markets (the US, the UK, Japan, and Malaysia) to analyze the linkages between markets. Several findings are noteworthy. First, trading returns of foreign markets, such as the US, have significant...