Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causalityin-variance procedure, using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrial...

In this paper, we analyze the directional stock price and the index movements over a time series of one week to one month over a lag period data of six months. We attempt to study the asynchronous volatile index movements with the help of statistical methods employing non-parametric as well a...