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Are Chinese stock markets efficient? A cointegration and causality analysis
16 references·16 citing·25 second hopsampled
Are Chinese stock markets efficient? A cointegration and causality analysis (1997)Are Chinese stock markets efficient? A co…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…International Transmission of Stock Market Movements (1989)International Transmission of…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some recent development in a concept of causality (1988)Some recent development in a …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Théorie de la spéculation (1900)Théorie de la spéculationS&P BSE Sensex and S&P BSE IT return forecasting using ARIMA (2020)S&P BSE Sensex and S&P BSE IT…XBRL and Accruals: Empirical Evidence from China (2011)XBRL and Accruals: Empirical …Is the Chinese stock market really inefficient? (2011)Is the Chinese stock market r…The three-factor model and artificial neural networks: predicting stock price movement in China (2009)The three-factor model and ar…The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests (2009)The random walk hypothesis fo…Efficient market hypothesis: evidence from a small open-economy (2008)Efficient market hypothesis: …Insider trading and the valuation of international strategic alliances in emerging stock markets (2007)Insider trading and the valua…An empirical study of the asymmetric cointegration relationships among the Chinese stock markets (2007)An empirical study of the asy…The Cross-Section of Stock Returns on The Shanghai Stock Exchange (2006)The Cross-Section of Stock Re…The behaviour of US stock prices: Evidence from a threshold autoregressive model (2006)The behaviour of US stock pri…China financial research: A review and synthesis (2006)China financial research: A r…Are the Australian and New Zealand stock prices nonlinear with a unit root? (2005)Are the Australian and New Ze…CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS (2004)CAUSAL LINKAGES AMONG SHANGHA…Antibubble and prediction of China's stock market and real-estate (2004)Antibubble and prediction of …China: Further Evidence on the Evolution of Stock Markets in Transition Economies (2003)China: Further Evidence on th…Stock Returns and Volatility: an empirical study of Chinese stock markets (1998)Stock Returns and Volatility:…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)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)Unit root tests in panel data: asymptotic and finite-sample properties (2002)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • Cited by

    • 2008Efficient market hypothesis: evidence from a small open-economy80 cited
    • 2004Antibubble and prediction of China's stock market and real-estate79 cited
    • 2006China financial research: A review and synthesis73 cited
    • 2005Are the Australian and New Zealand stock prices nonlinear with a unit root?72 cited
    • 2009The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests66 cited
    • 2011Is the Chinese stock market really inefficient?61 cited
    • 2004CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS53 cited
    • 2009The three-factor model and artificial neural networks: predicting stock price movement in China52 cited
    • 2006The behaviour of US stock prices: Evidence from a threshold autoregressive model51 cited
    • 2020S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA48 cited
    • 2007Insider trading and the valuation of international strategic alliances in emerging stock markets47 cited
    • 2006The Cross-Section of Stock Returns on The Shanghai Stock Exchange45 cited
    • 2007An empirical study of the asymmetric cointegration relationships among the Chinese stock markets44 cited
    • 1998Stock Returns and Volatility: an empirical study of Chinese stock markets43 cited
    • 2003China: Further Evidence on the Evolution of Stock Markets in Transition Economies43 cited
    • 2011XBRL and Accruals: Empirical Evidence from China40 cited