Study on the Dynamic Linkage between China Mainland A-share Market and Hong Kong H-share Market
In this paper we investigate the dynamic linkage between mainland China stock market and Hong Kong H-share market over January 1994-December 2007 period, which is divided into four periods marked by Asian financial crisis in 1997 and the opening of Chinas B-shares to domestic investors in 2001, as well as by split-share structure reform in 2005. Nonlinear Granger causality testing proposed by Himestra and Jones (1994) has been used and a new Monte-Carlo simulation method was induced to calculate the confidence level. The results of non-linear causality tests show that there exists non-linear causality between the two markets during the sample period. However,this causality relationship varies in different periods, which can not been seen from the linear test results.
A-share causality H-share non-linear
Pan Yue Dai Yiyi
Department of Finance,School of Economics,Xiamen University,P.R.China,361005 School of Management,Xiamen University,P.R.China,361005
国际会议
International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)
上海
英文
162-166
2008-06-01（万方平台首次上网日期，不代表论文的发表时间）