UM
Policy change and lead-lag relations among China's segmented stock markets
Qiao Z.; Li Y.; Wong W.-K.
2008
Source PublicationJournal of Multinational Financial Management
ISSN1042444X
Volume18Issue:3Pages:276
AbstractThis paper uses linear and nonlinear Granger causality tests to study the lead-lag relations among China's segmented stock markets. In contrast to the weak lead-lag relation among A- and B-share markets disclosed by its linear counterpart, a nonlinear causality test provides evidence of strong bi-directional causal relations between two A-share markets as well as between two B-share markets. In addition, the evidence shows that since the implementation of a new policy allowing domestic citizens to invest in B-share markets, A-share markets tend to lead their B-share counterparts in the same stock exchange and B-share markets continue to lead the H-share market. © 2007 Elsevier B.V. All rights reserved.
KeywordGranger causality Lead-lag relation Nonlinearity Stock market segmentation
DOI10.1016/j.mulfin.2007.11.001
URLView the original
Language英语
The Source to ArticleScopus
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Document TypeJournal article
CollectionUniversity of Macau
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GB/T 7714
Qiao Z.,Li Y.,Wong W.-K.. Policy change and lead-lag relations among China's segmented stock markets[J]. Journal of Multinational Financial Management,2008,18(3):276.
APA Qiao Z.,Li Y.,&Wong W.-K..(2008).Policy change and lead-lag relations among China's segmented stock markets.Journal of Multinational Financial Management,18(3),276.
MLA Qiao Z.,et al."Policy change and lead-lag relations among China's segmented stock markets".Journal of Multinational Financial Management 18.3(2008):276.
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