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Do Information Transmissions between Stock Markets of the Greater China Become Stronger? A Nonlinear Perspective
Keith Lam; Zhuo Qiao
2009
Conference Name17th Conference on the Theories and Practices of Securities and Financial Markets
Source PublicationProceedings of the 17th Conference on the Theories and Practices of Securities and Financial Markets
Conference DateDecember 11-12, 2009
Conference PlaceKaohsiung, Taiwan
Abstract

This paper uses linear and nonlinear Granger causality tests to study information transmission among 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 HKSE and TWSE in the earlier period of 1992-1999. The nonlinear causality test further shows that information transmissions have recently been strengthened and Chinese stock markets are well connected with their neighbor markets HKSE and TWSE. In fact, Chinese stock markets are playing a most influential role among the stock markets of Greater China.

KeywordGranger Causality Greater China Stock Market Nonlinearity
Language英语
Fulltext Access
Document TypeConference paper
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Keith Lam,Zhuo Qiao. Do Information Transmissions between Stock Markets of the Greater China Become Stronger? A Nonlinear Perspective[C],2009.
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