In this article, we investigate the asymmetries of exceedance correlations and cross-correlations between West Texas Intermediate (WTI) spot and futures markets. First, employing the test statistic proposed by Hong et al. [Asymmetries in stock returns: statistical tests and economic evaluation,...

This paper extends the work in Wang, Liu and Gu (2009) [Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis. International Review of Financial Analysis, 18, 271-276] by investigating the dynamics of two main sources of multifractality over time....

This paper explores the co-movement of Shanghai stock market and China Yuan (CNY) exchange rates. First, we find that stock price and exchange rate are significantly cross-correlated. Second, employing a cointegration test allowing for a structural break, we find that the Shanghai Composite...

In this paper, we examine the hypothesis that world oil market is “one great pool” by investigating the integration between China's and four major crude oil markets. Using a nonlinear correlation measure, we find that the price co-movement between China's and international oil prices is...

This article mainly discusses market growth in the Chinese economy. The author analyses the difficulties of Chinese marketing reform, and points out that the key to market growth is not perfection of the market system but establishment of a market base. Without a property right system, a market...