Lodge, David; Manu, Ana-Simona; Van Robays, Ine - 2024
Using daily data since 2017, we disentangle China-specific structural shocks driving Chinese financial markets and … shocks emanating from the United States and shocks to global risk sentiment - two major forces driving global financial … markets - to ensure that China spillover estimates do not reflect common factors. Our results show that shocks originating in …