Panel Cointegration of Chinese A and B Shares
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Gary Gang Tian, 2007. "Are Chinese Stock Markets Increasing Integration With Other Markets In The Greater China Region And Other Major Markets?," Australian Economic Papers, Wiley Blackwell, vol. 46(3), pages 240-253, September.
- Wang, Zijun & Kutan, Ali M. & Yang, Jian, 2005. "Information flows within and across sectors in Chinese stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 767-780, September.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- repec:bla:obuest:v:61:y:1999:i:0:p:631-52 is not listed on IDEAS
- John Fernald & John H. Rogers, 2002.
"Puzzles In The Chinese Stock Market,"
The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 416-432, August.
- John G. Fernald & John H. Rogers, 1998. "Puzzles in the Chinese stock market," International Finance Discussion Papers 619, Board of Governors of the Federal Reserve System (U.S.).
- John G. Fernald & John H. Rogers, 2000. "Puzzles in the Chinese stock market," Working Paper Series WP-00-13, Federal Reserve Bank of Chicago.
- Chakravarty, Sugato & Sarkar, Asani & Wu, Lifan, 1998.
"Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 325-356, December.
- Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Research Paper 9820, Federal Reserve Bank of New York.
- Jian Yang, 2003. "Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis," The Financial Review, Eastern Finance Association, vol. 38(4), pages 591-609, November.
- Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.
- Tom Engsted & Jesper Lund, 1997. "Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 659-665.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Paul McGuinness, 2002. "Reform in China's 'B' share markets and the shrinking A/B share price differential," Applied Economics Letters, Taylor & Francis Journals, vol. 9(11), pages 705-709.
- Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001.
"Likelihood-based cointegration tests in heterogeneous panels,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-41.
- Larsson, Rolf & Lyhagen, Johan & Löthgren, Mickael, 1998. "Likelihood-Based Cointegration Tests in Heterogeneous Panels," SSE/EFI Working Paper Series in Economics and Finance 250, Stockholm School of Economics, revised 27 Aug 1998.
- G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Huang, Wei & Yang, Kailin & Ma, Jiming & Xu, Yaowu & Guo, Xinlei & Wang, Jue, 2018. "A new setting criterion of tailrace surge chambers for pumped-storage power plants," Renewable Energy, Elsevier, vol. 116(PA), pages 194-201.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Niklas Ahlgren & Bo Sjo & Jianhua Zhang, 2009. "Panel cointegration of Chinese A and B shares," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1859-1871.
- Ahlgren, Niklas & Sjöö, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
- Hasanov, Fakhri J. & Bulut, Cihan & Suleymanov, Elchin, 2016. "Do population age groups matter in the energy use of the oil-exporting countries?," Economic Modelling, Elsevier, vol. 54(C), pages 82-99.
- Wilman-Santiago Ochoa-Moreno & Byron Alejandro Quito & Carlos Andrés Moreno-Hurtado, 2021. "Foreign Direct Investment and Environmental Quality: Revisiting the EKC in Latin American Countries," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
- Tsangyao Chang & Tsung-Pao Wu & Rangan Gupta, 2015.
"Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function,"
Applied Economics, Taylor & Francis Journals, vol. 47(1), pages 32-53, January.
- Tsangyao Chang & Tsung-pao Wu & Rangan Gupta, 2013. "Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function," Working Papers 201324, University of Pretoria, Department of Economics.
- Kristofer Månsson & Ghazi Shukur & Pär Sjölander, 2013.
"Testing for panel unit roots in the presence of spatial dependency,"
Applied Economics, Taylor & Francis Journals, vol. 45(29), pages 4152-4159, October.
- Månsson, Kristofer & Shukur, Ghazi & Sjölander, Pär, 2012. "Testing for Panel Unit Roots in the Presence of Spatial Dependency," HUI Working Papers 71, HUI Research.
- Guneratne B Wickremasinghe & Jae H Kim, 2008. "Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 169-196, August.
- Nizar Harrathi & Ahmed Almohaimeed, 2022. "Determinants of Carbon Dioxide Emissions: New Empirical Evidence from MENA Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 469-482.
- Valérie Mignon & Christophe Hurlin, 2005.
"Une synthèse des tests de racine unitaire sur données de panel,"
Économie et Prévision, Programme National Persée, vol. 169(3), pages 253-294.
- Christophe Hurlin & Valérie Mignon, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Economie & Prévision, La Documentation Française, vol. 0(3), pages 253-294.
- Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
- Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
- Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019.
"Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence,"
Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2014. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 1403, University of Nevada, Las Vegas , Department of Economics.
- Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2017. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 201740, University of Pretoria, Department of Economics.
- Acikgoz, Senay & Ben Ali, Mohamed Sami, 2019. "Where does economic growth in the Middle Eastern and North African countries come from?," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 172-183.
- Breitung, Jörg & Pesaran, Mohammad Hashem, 2005.
"Unit roots and cointegration in panels,"
Discussion Paper Series 1: Economic Studies
2005,42, Deutsche Bundesbank.
- Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo.
- Jörg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," IEPR Working Papers 05.32, Institute of Economic Policy Research (IEPR).
- Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge.
- repec:aly:journl:202073 is not listed on IDEAS
- Csereklyei, Zsuzsanna & Humer, Stefan, 2012.
"Modelling Primary Energy Consumption under Model Uncertainty,"
Department of Economics Working Paper Series
147, WU Vienna University of Economics and Business.
- Zsuzsanna Csereklyei & Stefan Humer, 2012. "Modelling Primary Energy Consumption under Model Uncertainty," Department of Economics Working Papers wuwp147, Vienna University of Economics and Business, Department of Economics.
- Betty Daniel & Christos Shiamptanis, 2008.
"Fiscal Policy in the European Monetary Union,"
Discussion Papers
08-11, University at Albany, SUNY, Department of Economics.
- Betty C. Daniel & Christos Shiamptanis, 2009. "Fiscal Policy in the European Monetary Union," Working Papers 2009-1, Central Bank of Cyprus.
- Betty C. Daniel & Christos Shiamptanis, 2008. "Fiscal policy in the European Monetary Union," International Finance Discussion Papers 961, Board of Governors of the Federal Reserve System (U.S.).
- Jean françois Hoarau & Claude Lopez & Michel Paul, 2010.
"Short Note on the Unemployment Rate of the “French overseas regions”,"
Economics Bulletin, AccessEcon, vol. 30(3), pages 2321-2329.
- Jean-François HOARAU & Claude Lopez & Michel PAUL, 2009. "Short Note on the Unemployment Rate of the French Overseas Regions," University of Cincinnati, Economics Working Papers Series 2009-3, University of Cincinnati, Department of Economics.
- Jean-François Hoarau & Claude Lopez & Michel Paul, 2011. "Short Note on the Unemployment Rate of the French Overseas Regions," Working Papers hal-01243453, HAL.
- Hoarau, J-F. & Lopez, C. & Paul, M., 2011. "Short Note on the Unemployment Rate of the French Overseas Regions," Working papers 337, Banque de France.
- Chen, Shiu-Sheng & Chen, Hung-Chyn, 2007. "Oil prices and real exchange rates," Energy Economics, Elsevier, vol. 29(3), pages 390-404, May.
- Apergis, Nicholas & Payne, James E. & Menyah, Kojo & Wolde-Rufael, Yemane, 2010. "On the causal dynamics between emissions, nuclear energy, renewable energy, and economic growth," Ecological Economics, Elsevier, vol. 69(11), pages 2255-2260, September.
- Pedro M G Martins, 2010. "Aid Absorption and Spending in Africa: A Panel Cointegration Approach," Discussion Papers 10/06, University of Nottingham, CREDIT.
- Emmanuel Anoruo & William R. DiPietro, 2014. "Convergence in Per Capita Energy Consumption among African Countries: Evidence from Sequential Panel Selection Method," International Journal of Energy Economics and Policy, Econjournals, vol. 4(4), pages 568-577.
- Gogas, Periklis & Plakandaras, Vasilios & Papadimitriou, Theophilos, 2014.
"Public debt and private consumption in OECD countries,"
The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 1-7.
- Gogas, Periklis & Papadimitriou, Theophilos & Plakandaras, Vasilios, 2013. "Public Debt and Private Consumption in OECD countries," DUTH Research Papers in Economics 1-2013, Democritus University of Thrace, Department of Economics, revised 20 Feb 2014.
More about this item
Keywords
Chinese A and B shares; Market segmentation; Information flow; Panel unit root and cointegration tests;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-TRA-2008-04-29 (Transition Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:gunwpe:0300. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ann-Christin Räätäri Nyström (email available below). General contact details of provider: https://edirc.repec.org/data/naiguse.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.