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

26 Citations (Scopus)
1 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