This paper extends Hong et al. (2007)’s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets.

Purpose– This study aims to propose a model-free statistic that tests asymmetric correlations of stock returns, in which stocks move more often with the market when the market goes down than when it goes up, and then empirically analyze the asymmetric correlations of the China stock market and...

This paper develops two tests for parametric volatility function of a diffusion model based on Khmaladze (1981)’s martingale transformation. The tests impose no restrictions on the functional form of the drift function and are shown to be asymptotically distribution-free. The tests are...