Department of Economics
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.
Stock market segmentation, Lead–lag relation, Granger causality, Nonlinearity
Source Publication Title
Journal of Multinational Financial Management
Link to Publisher's Edition
Qiao, Z., Li, Y., & Wong, W. (2008). Policy change and lead–lag relations among China's segmented stock markets. Journal of Multinational Financial Management, 18 (3). https://doi.org/10.1016/j.mulfin.2007.11.001