Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets
In this paper, we test for causal relationship between China's stock markets by using returns and a measure of volatility for the Shanghai Composite index, the Shenzhen Composite Subindex, and the Hong Kong Hang Seng Index. We also show that the stock index series are non stationary and that co...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
World Scientific
2004
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/8865 |