Interaction among China-related stocks: evidence from a causality test with a new procedure
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.
Year of publication: |
2004
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Authors: | Tian, Gary Gang ; Wan, Guang Hua |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 14.2004, 1, p. 67-72
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Publisher: |
Taylor & Francis Journals |
Saved in:
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