Zhang, Bing; Li, Xiao-Ming - In: International Review of Economics & Finance 29 (2014) C, pp. 525-536
This paper examines the comovement between the Chinese and US stock markets over the period between January 4, 2000 and January 13, 2012. We show that there is no cointegration relationship between the two markets, even when allowing for structural change. Their conditional correlation...