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Changes of the correlation structure, market improvement and crisis contagion

We measure its stability of the data generating process (DGP) for Chinese stock index by testing its unit root with structure changes. According to those tests results, we construct our models to analyze whether the efficiency of Chinese stock market has been improved or not and to find out if there is crisis contagion to China. We find that, firstly, the DGP of Chinese stock index is of stability which is different from the case for the time series without the unit root. Second, reform of the nontradable shares has improved Chinese stock market's efficiency. Third, there is evidence about contagion from the American subprime mortgage crisis to the other three major economies, and it does not begin in the early 2007 but around the August. These conclusions are more in line with the performance of actual markets than the other recent relevant studies. Our paper is the first research of giving identification to the correlation structure's changes resulted from the market's efficiency improvement and the shocks from external crises. All researches about financial crisis contagion neglect possible impacts from the improved efficiency of the market being in contagion.