Abstract:This study employs VECM-DCC-MVGARCH model to investigate the time-varying characteristics of integration in Chinese stock markets in the long and short run.The empirical results show that after B-Share is open to domestic investors,the markets are integrated to some extent in the long run,while in the short run,A-share market plays an important role in the information transmitting between A-Share and B-Share markets.In addition,the information transmission between A-Share and B-Share markets has...