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A broad literature on theoretical and empirical nance concludes that major price adjust- ment of liquid assets happens at least within one day. This is formalised in the random walk hypothesis, which implies returns uncorrelated with lagged variables. Whether or not this hypothesis is exactly fullled, in daily data most commonalities in terms of cross- correlations appear to be contemporaneous. The main contribution of the underlying paper lies in disentangling the sources of these correlations between the di erent Chinese stock markets, as there are common factors, spillovers in one and such in the other di- rection. In this, we can fully account for the concepts of informational.
