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: | , , , |
|---|---|
| Format: | Journal Article |
| Published: |
World Scientific
2004
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/8865 |
| _version_ | 1848745783429431296 |
|---|---|
| author | Zhu, H. Lu, Zudi Wang, S. Soofi, A. |
| author_facet | Zhu, H. Lu, Zudi Wang, S. Soofi, A. |
| author_sort | Zhu, H. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 cointegrating vectors and error correction models do not exist for the series. Based on these tests, for the return series, we conclude that Shenzhen Granger caused Shanghai before 1994. For the volatility data, we found that there exists a positive feedback relationship between Shanghai and Shenzhen stock markets, and that Hong Kong volatility Granger causes Shanghai volatility, but not vice versa. |
| first_indexed | 2025-11-14T06:22:51Z |
| format | Journal Article |
| id | curtin-20.500.11937-8865 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:22:51Z |
| publishDate | 2004 |
| publisher | World Scientific |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-88652017-09-13T16:02:56Z Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets Zhu, H. Lu, Zudi Wang, S. Soofi, A. volatility Financial integration Granger causality Shanghai stock market Shenzhen stock market 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 cointegrating vectors and error correction models do not exist for the series. Based on these tests, for the return series, we conclude that Shenzhen Granger caused Shanghai before 1994. For the volatility data, we found that there exists a positive feedback relationship between Shanghai and Shenzhen stock markets, and that Hong Kong volatility Granger causes Shanghai volatility, but not vice versa. 2004 Journal Article http://hdl.handle.net/20.500.11937/8865 10.1142/S0219024904002414 World Scientific restricted |
| spellingShingle | volatility Financial integration Granger causality Shanghai stock market Shenzhen stock market Zhu, H. Lu, Zudi Wang, S. Soofi, A. Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets |
| title | Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets |
| title_full | Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets |
| title_fullStr | Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets |
| title_full_unstemmed | Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets |
| title_short | Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets |
| title_sort | causal linkages among shanhai, shenzhen, and hong kong stock markets |
| topic | volatility Financial integration Granger causality Shanghai stock market Shenzhen stock market |
| url | http://hdl.handle.net/20.500.11937/8865 |