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Interactions Among China-Related Stocks: Evidence From A Causality Test With A New Procedure, Gary Gang Tian, Guang Hua Wan
Interactions Among China-Related Stocks: Evidence From A Causality Test With A New Procedure, Gary Gang Tian, Guang Hua Wan
Gary Tian
The purpose of this study is to investigate a causal relationship among five different indices of shares issued by Chinese firms, A-, B- and H-shares listed in China and Hong Kong. This paper re-examines the interactions among these China-related stocks using daily time series data by constructing a vector autoregresion (VAR) model. A new Granger no-causality testing procedure developed by Toda and Yamamoto (1995) was applied to test the causality link among these five stock indices. The results emerging from our research indicate that there are "closed" relations within A-share (as well as within B-share) between Shanghai and Shenzhen markets …