Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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.

Keywords

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

Publication Date

2008

Source Publication Title

Journal of Multinational Financial Management

Volume

18

Issue

3

Start Page

276

End Page

289

Publisher

Elsevier

Peer Reviewed

1

DOI

10.1016/j.mulfin.2007.11.001

Link to Publisher's Edition

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

ISSN (print)

1042444X

Included in

Economics Commons

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