Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?

He Nie · Yonghong Jiang

20 citations0/0 files storedApplied Economics Letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

This article investigates the linear, nonlinear and time-varying Granger causality between different time horizons in the volatility of US stock market and the China Exchange-Traded Fund (ETF) market. We find evidence of linear causality from the US stock market to the China ETF market, with a bilateral nonlinear causal relationship in the longer term. Bootstrap rolling causality analysis indicates high rejection rates of a noncausal relationship running from the US stock market to the China EFT market. The causality linkage from the China ETF market to the US stock market was determined to be time-horizon-dependent, and the null hypothesis rejection rate of non-Granger causality increased in the longer term.

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References

1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 2006A new statistic and practical guidelines for nonparametric Granger causality testing 2015Global financial crisis and spillover effects among the U.S. and BRICS stock markets 2013Simulation Study of Direct Causality Measures in Multivariate Time Series 2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests 2015On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing 2010Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches 2015Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach

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