Corbet, Shaen; Hou, Greg; Hu, Yang; Oxley, Les - 2022
This paper investigates, for the first time, the presence of financial contagion among several important Chinese …-normal (RSSN) methodology to test for contagion through the correlation and coskewness channels while considering structural breaks … in the different moments. Our results present evidence of contagion effects, which are robust across identified crisis …