Policy change and lead-lag relations among China's segmented stock markets

Zhuo Qiao, Yuming Li*, Wing Keung WONG

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    27 Citations (Scopus)
    2 Downloads (Pure)

    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.

    Original languageEnglish
    Pages (from-to)276-289
    Number of pages14
    JournalJournal of Multinational Financial Management
    Volume18
    Issue number3
    DOIs
    Publication statusPublished - Jul 2008

    Scopus Subject Areas

    • Finance
    • Economics and Econometrics

    User-Defined Keywords

    • Granger causality
    • Lead-lag relation
    • Nonlinearity
    • Stock market segmentation

    Fingerprint

    Dive into the research topics of 'Policy change and lead-lag relations among China's segmented stock markets'. Together they form a unique fingerprint.

    Cite this