Weber, Enzo; Zhang, Yanqun - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and … extent from H to B and A to H. However, since the opening of the B-market for Chinese citizens in 2001, common factors have …-directional) spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser …