IEEE - Institute of Electrical and Electronics Engineers, Inc. - Investigation of non-linear granger causality between China mainland stock market and Hong Kong H-share market

2008 International Conference on Management Science and Engineering (ICMSE)

Author(s): Pan Yue ; Dai Yi-yi
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 September 2008
Conference Location: Long Beach, CA, USA
Conference Date: 10 September 2008
Page(s): 1,214 - 1,219
ISBN (CD): 978-1-4244-2388-0
ISBN (Paper): 978-1-4244-2387-3
DOI: 10.1109/ICMSE.2008.4669064
Regular:

In this paper we investigate the linear and non-linear causality relationship between mainland China stock market and Hong Kong H-share market over January 1994-December 2007 period, which is... View More

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