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Granger causal relations among Greater China stock markets: a Nonlinear perspective
Zhuo Qiao; Keith Lam
2011-06-24
Source PublicationApplied Financial Economics
ISSN0960-3107
Volume21Pages:1437-1450
Abstract

This article uses linear and nonlinear Granger causality tests to study Granger causal relations among the stock markets of Greater China. In sharp contrast to the results disclosed by its linear counterpart, a nonlinear causality test provides evidence of isolated bi-directional causal relations between two Chinese stock markets and between the HKSE and the TWSE in the earlier period of 1992 to 1999. The nonlinear causality test further shows that, in the later period of 2000 to 2008, Granger causal relations have been strengthened and that Chinese stock markets are well connected with their neighbour markets, the HKSE and the TWSE, and they are playing a most influential role among the stock markets of Greater China.

KeywordGranger Causality Nonlinearity Greater China Stock Market
DOIhttps://doi.org/10.1080/09603107.2011.577007
Indexed BySSCI ; SSCI
Language英语
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorZhuo Qiao
AffiliationDepartment of Finance and Business Economics, University of Macau, Macao S.A.R., China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Zhuo Qiao,Keith Lam. Granger causal relations among Greater China stock markets: a Nonlinear perspective[J]. Applied Financial Economics,2011,21:1437-1450.
APA Zhuo Qiao,&Keith Lam.(2011).Granger causal relations among Greater China stock markets: a Nonlinear perspective.Applied Financial Economics,21,1437-1450.
MLA Zhuo Qiao,et al."Granger causal relations among Greater China stock markets: a Nonlinear perspective".Applied Financial Economics 21(2011):1437-1450.
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