Interaction among China-related stocks: evidence from a causality test with a new procedure
Abstract
The 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.Download Info
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Bibliographic Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 14 (2004)
Issue (Month): 1 ()
Pages: 67-72
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance 0504020, EconWPA.
- Huyghebaert, Nancy & Wang, Lihong, 2010. "The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?," China Economic Review, Elsevier, vol. 21(1), pages 98-112, March.
- Shujie Yao & Dan Luo & Stephen Morgan, . "Shanghai Stock Exchange Composite Index and Bank Stock Prices in China: A Causality Analysis," Discussion Papers 08/25, University of Nottingham, GEP.
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