On the changing structure among Chinese equity markets: Hong Kong, Shanghai, and Shenzhen Academic Article

abstract

• 2017 Elsevier B.V. This study investigates information discovery among five Chinese equity markets measured daily over the period 19952014. We employ time series methods for finding structural breaks (if any) and uncovering both short-run and long-run fluctuations. We apply a new algorithm of inductive causation for use with non-Gaussian data to study the information flows in contemporaneous time. The empirical results show that there are four break dates and that the underlying causal models changed over our study period. The Shanghai A-share market dominates the other markets in the most recent period.

authors

• Bessler, David

published proceedings

• EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

author list (cited authors)

• Huang, W., Lai, P., & Bessler, D. A.

citation count

• 10

complete list of authors

• Huang, Wei||Lai, Pei-Chun||Bessler, David A

publication date

• February 2018

publisher

• Elsevier  Publisher

published in

• European Journal of Operational Research  Journal

keywords

• Chinese Stock Market
• Information Flow
• Linear Non-gaussian Acyclic Model
• Structural Var
• Structure Change

Digital Object Identifier (DOI)

• 10.1016/j.ejor.2017.01.019

start page

• 1020

end page

• 1032

volume

• 264

issue

• 3

URL

• http%3A%2F%2Fdx.doi.org%2F10.1016%2Fj.ejor.2017.01.019