کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
967517 | 931338 | 2008 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Policy change and lead-lag relations among China's segmented stock markets
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 18, Issue 3, July 2008, Pages 276-289
Journal: Journal of Multinational Financial Management - Volume 18, Issue 3, July 2008, Pages 276-289
نویسندگان
Zhuo Qiao, Yuming Li, Wing-Keung Wong,