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Evaluating time-varying granger causality between US-China political relation changes and China stock market

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  • Cai, Yifei
  • Chang, Hao-Wen
  • Chang, Tsangyao

Abstract

This study investigates the Granger causality between US-China political relation and Chinese stock market returns with bootstrapping method and a rolling-window technique. The results show that shifts in US-China political relation make long-lasting Granger causal impacts on stock market variations, but the reverse impacts are short-lived.

Suggested Citation

  • Cai, Yifei & Chang, Hao-Wen & Chang, Tsangyao, 2023. "Evaluating time-varying granger causality between US-China political relation changes and China stock market," Finance Research Letters, Elsevier, vol. 55(PA).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002908
    DOI: 10.1016/j.frl.2023.103918
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    2. Xin Chen & Zhangming Shan & Decai Tang & Biao Zhou & Valentina Boamah, 2023. "Interest rate risk of Chinese commercial banks based on the GARCH-EVT model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-11, December.

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    More about this item

    Keywords

    US-China political relation; China's stock market; Causality; Bootstrapping; Rolling-window technique;
    All these keywords.

    JEL classification:

    • F50 - International Economics - - International Relations, National Security, and International Political Economy - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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