Interaction among China-related stocks: evidence from a causality test with a new procedure
AbstractThe purpose of this study is to investigate a causal relationship among five different indices of shares issued by Chinese firms, A-, B- and H-shares listed in China and Hong Kong. This article re-examines the interactions among these China-related stocks using daily time series data by constructing a vector autoregresion (VAR) model. A new Granger no-causality testing procedure developed by Toda and Yamamoto was applied to test the causality link among these five stock indices. The results suggest that the 'closed' B-share markets in Shanghai and Shenzhen exhibit causality relations with each other during the entire period between 1993 and 1999 but this pattern does not exist within A-share markets. Furthermore, evidence is also found of Granger causality running from Hong Kong H-shares to B-shares in Shanghai and Shenzhen, and from Shanghai B-shares to all the rest Chinese markets for the post-1996 period.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 14 (2004)
Issue (Month): 1 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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