Dynamic linkages between China and US equity markets under two recent financial crises
This paper explores and compares the effects of two financial crises (the 1997 Asian Financial Crisis and the 2007-2010 Subprime Financial Crisis) on short-run and long-run linkages between equity markets in China (mainland and Hong Kong) and US. In particular, we not only investigate the return causality relationships by applying vector autoregressive (VAR) analysis, but we also examine the volat
