Returns and volatility on the Chinese stock markets

The transfer of information is analysed within two distinct markets in the same country, specifically, the Chinese stock markets. The presence of autocorrelation and cross correlation in the four main stock indices is examined. The results for stock index data find spillovers in both directions from ‘A’ and ‘B’ shares. However, it is also documented that this feature of the market does not extend to volatility in that there is no spillover in volatility from ‘B’ share prices to ‘A’ share prices or vice-versa.