Shen, Chung-Hua; Chen, Chien-Fu; Chen, Li-Hsueh - In: Applied Economics 39 (2007) 11, pp. 1433-1445
The Enders and Siklos asymmetric cointegration test is employed to examine the long-run asymmetric equilibrium relationships between the Chinese Shanghai and Shenzhen stock markets. Three samples are adopted, which are the whole sample (October 1992 to September 2002); the first subsample before...