Abstract
In this paper, we test for causal relationship between China's stock markets by using returns and a measure of volatility for the Shanghai Composite index, the Shenzhen Composite Subindex, and the Hong Kong Hang Seng Index. We also show that the stock index series are nonstationary and that cointegrating vectors and error correction models do not exist for the series. Based on these tests, for the return series, we conclude that Shenzhen Granger caused Shanghai before 1994. For the volatility data, we find that there exists a positive feedback relationship between Shanghai and Shenzhen stock markets, and that Hong Kong volatility Granger causes Shanghai volatility, but not vice versa.
| Original language | English |
|---|---|
| Pages (from-to) | 135-149 |
| Journal | International Journal of Theoretical and Applied Finance |
| Volume | 7 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Mar 2004 |
| Externally published | Yes |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Research Keywords
- Financial integration
- Granger causality
- Shanghai stock market
- Shenzhen stock market
- Volatility
Policy Impact
- Cited in Policy Documents
Fingerprint
Dive into the research topics of 'Causal linkages among Shanghai, Shenzhen, and Hong Kong stock markets'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver