Qiao, Zhuo; Li, Yuming; Wong, Wing-Keung - In: Journal of Multinational Financial Management 18 (2008) 3, pp. 276-289
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...