Document Type

Journal Article

Department/Unit

Department of Economics

Abstract

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 bi-directional causal relations between two A-share markets as well as between two B-share markets. In addition, the evidence shows that since the implementation of a new policy allowing domestic citizens to invest in B-share markets, A-share markets tend to lead their B-share counterparts in the same stock exchange and B-share markets continue to lead the H-share market.

Publication Year

2008

Journal Title

Journal of Multinational Financial Management

Volume number

18

Issue number

3

Publisher

Elsevier

First Page (page number)

276

Last Page (page number)

289

Referreed

1

DOI

10.1016/j.mulfin.2007.11.001

ISSN (print)

1042-444X

Link to Publisher’s Edition

http://dx.doi.org/10.1016/j.mulfin.2007.11.001

Keywords

Stock market segmentation, Lead–lag relation, Granger causality, Nonlinearity

Included in

Economics Commons

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