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Granger causal relations among Greater China stock markets: a nonlinear perspective


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  • Zhuo Qiao
  • Keith Lam
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    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.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 21 (2011)
    Issue (Month): 19 ()
    Pages: 1437-1450

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    Handle: RePEc:taf:apfiec:v:21:y:2011:i:19:p:1437-1450

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    Keywords: Granger causality; nonlinearity; Greater China; stock market;


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