By employing multivariate GARCH models to stock returns and AR-GARCH models with change points identified by ICSS algorithm to predicted dynamics conditional correlations, this paper seeks to analyze information shocks on daily return dynamics in three Chinese segmented stock markets, namely...

Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil market. To this end, we employ the...

This paper examines whether the Shanghai-Hong Kong Stock Connect program drivesmarket comovement between Shanghai and Hong Kong. We distinguish financial liberalization induced market comovement from that induced by other factors through comparing time-varying market correlations of...