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CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS
16 references·11 citing·39 second hop
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A cointegration and causality analysis (1997)Are Chinese stock markets eff…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Stock market interdependencies: Evidence from the asian NIEs (1994)Stock market interdependencie…Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some recent development in a concept of causality (1988)Some recent development in a …AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Volatility connectedness and market dependence across major financial markets in China economy (2021)Volatility connectedness and …The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect (2019)The Three Musketeers Relation…China–Africa financial markets linkages: Volatility and interdependence (2018)China–Africa financial market…Volatility spillover between the US, Chinese and Australian stock markets (2017)Volatility spillover between …Volatility transmission and volatility impulse response functions among the Greater China stock markets (2015)Volatility transmission and v…The interactions between China and US stock markets: New perspectives (2014)The interactions between Chin…Investment Dynamics of the Greater China Securitized Real Estate Markets (2012)Investment Dynamics of the Gr…Co-movements of Shanghai and New York stock prices by time-varying regressions (2011)Co-movements of Shanghai and …Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study (2009)Information transmission betw…Dynamic Linkages Between the China and International Stock Markets (2009)Dynamic Linkages Between the …Insider trading and the valuation of international strategic alliances in emerging stock markets (2007)Insider trading and the valua…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Energy consumption and economic growth: A causality analysis for Greece (2009)The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors (2014)Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2022)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Optimal Inference in Cointegrated Systems (1991)Making wald tests work for cointegrated VAR systems (1996)Testing for short- and long-run causality: A frequency-domain approach (2005)Energy consumption, carbon emissions, and economic growth in China (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis Forecasting and Control. 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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 2001Long and short term dynamic causal transmission amongst international stock markets290 cited
  • 1994Stock market interdependencies: Evidence from the asian NIEs159 cited
  • 1997Are Chinese stock markets efficient? A cointegration and causality analysis107 cited
  • 2002Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period99 cited
  • 2000The microstructure of the Chinese stock market93 cited
  • 2001The day-of-the-week regularity in the stock markets of China

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71 cited
  • 2002A test for volatility spillovers66 cited
  • Cited by

    • 2007Insider trading and the valuation of international strategic alliances in emerging stock markets47 cited
    • 2021Volatility connectedness and market dependence across major financial markets in China economy43 cited
    • 2009Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study35 cited
    • 2018China–Africa financial markets linkages: Volatility and interdependence30 cited
    • 2009Dynamic Linkages Between the China and International Stock Markets29 cited
    • 2012Investment Dynamics of the Greater China Securitized Real Estate Markets29 cited
    • 2019The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect27 cited
    • 2015Volatility transmission and volatility impulse response functions among the Greater China stock markets26 cited
    • 2017Volatility spillover between the US, Chinese and Australian stock markets26 cited
    • 2011Co-movements of Shanghai and New York stock prices by time-varying regressions24 cited
    • 2014The interactions between China and US stock markets: New perspectives23 cited