Do Information Transmissions among Stock Markets of Greater China Become Stronger? A Nonlinear Perspective

30 Pages Posted: 28 Apr 2010

See all articles by Keith Lam

Keith Lam

University of Macau - Faculty of Business Administration

Zhuo Qiao

University of Macau

Date Written: December 12, 2009

Abstract

This paper uses linear and nonlinear Granger causality tests to study information transmission among stock markets of Greater China. In sharp contrast to the results disclosed by its linear counterpart, a nonlinear causality test provides evidence of isolated bi-directional causal relations between two Chinese stock markets and between HKSE and TWSE in the earlier period of 1992-1999. The nonlinear causality test further shows that information transmissions have recently been strengthened and Chinese stock markets are well connected with their neighbor markets HKSE and TWSE. In fact, Chinese stock markets are playing a most influential role among the stock markets of Greater China.

Keywords: Granger causality, Nonlinearity, stock market, Greater China

Suggested Citation

Lam, Keith and Qiao, Zhuo, Do Information Transmissions among Stock Markets of Greater China Become Stronger? A Nonlinear Perspective (December 12, 2009). 17th Conference on the Theories and Practices of Securities and Financial Markets, 2009, Available at SSRN: https://ssrn.com/abstract=1597031 or http://dx.doi.org/10.2139/ssrn.1597031

Keith Lam (Contact Author)

University of Macau - Faculty of Business Administration ( email )

Macau

Zhuo Qiao

University of Macau ( email )

P.O. Box 3001
Macau

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