The outcome of our empirical examination shows that before 2002, a strong contempora- neous spillover from A to B existed, whilst the unconditional correlation of the structural innovations is not signicant. This indicates that commonality between the A and B market was primarily based on the informational leading role of the A market. In the second period, the large contemporaneous spillover from A to B is replaced by a consider- able fundamental correlation, let alone a relatively small spillover from B to A. Evidently, common factors now dominate the comovement of the A and B market. Combined with the cointegrating relation found in the second period between.
