Chan, Brian Sing Fan; Cheng, Andy Cheuk Hin; Ma, Alfred … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17
The cross-boundary Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect provides a special data set to study the dynamic relationships among volatility, trading volume and turnover among three stock markets, namely Shanghai, Shenzhen, and Hong Kong. We employ the Granger Causality test with...
