Groenewold et al. (2004) documented that the Chinese stock market is inefficient. In this paper, we revisit the efficiency problem of the Chinese stock market using time-series model based trading rules. Our paper distinguishes itself from previous studies in several aspects. First, while...

Most of the existing structural-change models presume that the impact of a change is instantaneous and occurs at the same time for all individuals. In this paper, we develop a new structural-change model to measure the lag length between the time when an economic crisis breaks out and the time...

Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session...

This article explores the potential existence of comovements between the stock prices in Mainland China and Hong Kong. The cointegration test shows that the prices of a substantial number of A shares and H shares have started to cointegrate with each other after the launch of the Closer Economic...

Most of the existing structural-change models presume that the impact of a change is instantaneous and occurs at the same time for all individuals. In this paper, we develop a new structural-change model to measure the lag length between the time when an economic crisis breaks out and the time...