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, Zhuo, Yuming Li, and Wing Keung Wong. "Policy change and lead–lag relations among China's segmented stock markets." Journal of Multinational Financial Management 18.3 (2008): 276-289.