CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS

DOI10.1142/S0219024904002414zbMath1108.91329OpenAlexW1968425925MaRDI QIDQ3022097

Hongquan Zhu, Abdol S. Soofi, Shou-Yang Wang, Zu-di Lu

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002414

zbMATH Keywords

Granger causalityvolatilityFinancial integrationShanghai stock marketShenzhen stock market

Mathematics Subject Classification ID

Related Items (1)

Applications of Methods and Algorithms of Nonlinear Dynamics in Economics and Finance

Cites Work

• Statistical analysis of cointegration vectors
• A test for volatility spillovers.
• Correlations in returns and volatilities in Pacific-Rim stock markets
• Testing for a unit root in time series regression
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Vector Autoregressions and Causality
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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