Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Zhu, H., Lu, Zudi, Wang, S., Soofi, A.
Format:	Journal Article
Published:	World Scientific 2004
Subjects:	volatility Financial integration Granger causality Shanghai stock market Shenzhen stock market
Online Access:	http://hdl.handle.net/20.500.11937/8865

Similar Items

Short-term reaction of stock markets to a new mechanism: the case of Shanghai-Hong Kong Stock Connect
by: Chow, Yan Pang, Darien
Published: (2015)

Short-term reaction of stock markets to a new mechanism: the case of Shanghai-Hong Kong Stock Connect
by: Chow, Yan Pang, Darien
Published: (2015)

Shanghai-Hong Kong stock connect: an analysis of Chinese partial stock market liberalization impact on the local and foreign markets
by: Bai, Ye, et al.
Published: (2017)

How do the models to measure bubbles in the stock market
by: Ding, Yun
Published: (2007)

Toda and Yamamoto Causality Between Stock Market Development and Economic Growth: Evidence from China, Japan, Singapore, UK and US
by: Zhang, Haoxing
Published: (2012)

An Analysis of the Relationship between Nominal Exchange Rates and Stock Prices
by: Wu, Lina
Published: (2015)

A study on the relationship between exchange rate and stock price in China
by: DING, LIJIN
Published: (2017)

The impact of launching Stock Index Futures on the volatility of the Chinese stock market
by: Liu, Mengxi
Published: (2008)

Volatility Forecasting during Stock Disaster in China A-share Stock Market
by: BAO, JINGYI
Published: (2018)

A study on the emerging markets to compare the performances between conventional and Islamic stock markets due to the emergence of Covid-19 pandemic: an empirical analysis based on volatility, efficiency and integration
by: Hossain, Fyrooz Maisha
Published: (2021)

The relationship between bitcoin and the stock market: empirical evidence from the ASEAN countries
by: Le, Ha Duong
Published: (2025)

Testing the Weak Form Efficiency of Shanghai Stock Exchange with Artificial Neural Networks
by: Wong, Tai-chi Alick
Published: (2007)

Return and volatility spillover eﬀects: Evaluating the impact of Shanghai and Shenzhen-Hongkong Stock Connect Programs on A-H-US stock markets ---An empirical analysis based on VAR-GARCH model
by: JI, BAIHAO
Published: (2019)

A dynamic investigation into the predictability of Australian industry stock returns
by: Yao, Juan
Published: (2004)

The Causal Dynamics Between Coal Consumption and Growth: Evidence from Emerging Market Economies
by: Apergis, Nicholas, et al.
Published: (2010)

Governance reform in Shenzhen 2013-2018: a case study
by: Mao, Dun
Published: (2020)

Chinese Stock Market Response To COVID-19: An Example of An Event Study Method
by: Wang, Zeying
Published: (2022)

COVID-19 and Chinese stock prices: a volatility analysis
by: Suixin, Gao
Published: (2024)

Volatility modeling and prediction: the role of price impact
by: Jiang, Ying, et al.
Published: (2019)

International market integration and market interdependence: evidence from China's stock market in the post-WTO accession period
by: He, Hongbo
Published: (2012)

Transmission of Stock Movements between the Korean and Major International Stock Markets
by: LEE, JI TAEK
Published: (2008)

The short run impacts of quantitative easing in the U.S. on ASEAN stock market indexes
by: Tee, Joash Way Ern
Published: (2022)

Political Uncertainty and Financial Market Uncertainty in an Australian context
by: Smales, Lee
Published: (2014)

Shall We Dance? --A Brief History of China Stock Market & QFIIs Scheme
by: Hua, Fan
Published: (2005)

An Empirical Test of CAPM: Evidence from Shanghai Stock Exchange 2001-2005
by: Wu, Xinxin
Published: (2006)

News Sentiment and the Investor Fear Gauge
by: Smales, Lee
Published: (2013)

Detection of Rational Speculative Bubbles in the Malaysian Stock Market
by: Mokhtar, Suraya Hanim
Published: (2006)

Causal Relations Between Macroeconomic Factors and Vietnamese Stock Market Returns: A Johansen Cointegration Test
by: Nguyen, The Huy
Published: (2018)

Coal Consumption and Economic Growth: Evidence from a panel of OECD countries
by: Apergis, Nicholas, et al.
Published: (2010)

The Chinese stock market and economic activity.
by: Yao, Juan
Published: (1998)

Stock Market Anomalies in Emerging Markets: A Case of India
by: Goel, Sajal
Published: (2021)

A glocalised higher education hub in the making? a case study of Shenzhen’s higher education space
by: Fang, Yuning
Published: (2025)

The Long-run Performance of Initial Public Offerings- Evidence from the A-share Shanghai Stock Exchange
by: Yu, Lijun
Published: (2006)

Impact of crude-oil price volatility on economic activities: An empirical investigation in the Thai economy
by: Rafiq, Shuddsattwa, et al.
Published: (2008)

Relationship between Information Disclosure Quality and Financial Risk: Evidence from Shenzhen A-share
by: Lai, Yangyang
Published: (2022)

A Panel Study of Nuclear Energy Consumption and Economic Growth
by: Apergis, Nicholas, et al.
Published: (2010)

A Dynamic Panel Study of Economic Development and the Electricity Consumption-Growth Nexus
by: Apergis, Nicholas, et al.
Published: (2011)

Dynamic co-movement and spillover between the stock market and the foreign exchange market in ASEAN-5
by: Te, Kai Shuan
Published: (2022)

The impact of new information regime on the Jakarta stock exchange.
by: Nelmida, ., et al.
Published: (2009)

Stock market integration and the ASEAN Trading Link an empirical study
by: Sulong, Rizal Lynam Matjeraie
Published: (2019)

Cannot write session to /tmp/vufind_sessions/sess_odp8vfglkj0g058ma3s0j0orvg