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Policy change and lead-lag relations among China's segmented stock markets

  • Qiao, Zhuo
  • Li, Yuming
  • Wong, Wing-Keung

This 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.

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File URL: http://www.sciencedirect.com/science/article/pii/S1042-444X(07)00057-6
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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 18 (2008)
Issue (Month): 3 (July)
Pages: 276-289

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Handle: RePEc:eee:mulfin:v:18:y:2008:i:3:p:276-289
Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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