Co-movements of Shanghai and New York stock prices by time-varying regressions

► Using time-varying parameter regression we study co-movement of Shanghai and New York stock prices. ► The coefficients of the two regressions of the rates of return for these two markets increased from 1999 to 2010. ► The increases are interrupted by the world economic downturn in 2008-2009. ► Effect of the rate in NY on the rate in Shanghai was larger than the effect of Shanghai on NY. ► Useful measures of globalization China and the US are provided.