Abstract: Since that connectedness between different financial markets has always been the focus of theoretical and empirical research, we construct several connectedness indicators to measure the information spillover in financial markets based on the TVP-SV-VAR model. Under this framework, we measure the dynamic connectedness of financial asset returns in major financial markets in China and America, with our empirical results showing that the major financial markets of China and America are highly connected and that the US stock market is at the core of information spillover. Besides, most financial markets only resonate with domestic financial markets, while a few financial markets are relatively independent.

Keywords: Dynamic Connectedness Indicator; TVP-SV-VAR; Information Spillover