☆ 4.7 Article

Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets

MATHEMATICS (2022)

相关参考文献

注意：仅列出部分参考文献，下载原文获取全部文献信息。

Article Business, Finance

Price leadership and asynchronous movements of multi-market listed stocks

Krastina Dzhambova et al.

Summary: The study found that foreign prices lead domestic prices, and not the other way around. Investors in the firms' home market respond to idiosyncratic fluctuations in the stock returns in the host markets, indicating that investors pay more attention to fluctuations in stocks listed on more institutionally developed markets.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2022)

添加到收藏夹

Article Business, Finance

Pandemic-induced fear and stock market returns: Evidence from China

Zhi Su et al.

Summary: This study constructs a pandemic-induced fear (PIF) index to measure fear of the COVID-19 pandemic, using Internet search volumes from a Chinese local search engine. The impact of fear on Chinese stock market returns is empirically investigated, revealing a negative and significant relationship between the PIF index and cumulative stock market returns. The persistence of this impact can be attributed to mispricing resulting from investors' excessive pessimism. Additionally, the study shows that the PIF index directly predicts stock market returns through noise trading, highlighting the influence of investors' Internet search behaviors on amplifying fear and determining future stock market returns, rather than the number of cases and deaths caused by the pandemic.

GLOBAL FINANCE JOURNAL (2022)

添加到收藏夹

Article Business, Finance

Corporate immunity to the COVID-19 pandemic

Wenzhi Ding et al.

Summary: During the COVID-19 pandemic, companies with stronger financial positions, less exposure to global supply chains and customer locations, more corporate social responsibility activities, and fewer entrenched executives performed better in terms of stock returns. On the other hand, companies with greater ownership by hedge funds and other asset management companies showed worse performance.

JOURNAL OF FINANCIAL ECONOMICS (2021)

添加到收藏夹

Article Economics

Stock market liberalization and firm litigation risk--A quasi-natural experiment based on the Shanghai-Hong Kong Stock Connect policy

Zhen Huang et al.

Summary: This study examines the impact of stock market liberalization on litigation risks of A-share firms listed on the Shanghai Stock Exchange, using the Shanghai-Hong Kong Stock Connect policy as an exogenous shock. The findings suggest that stock market liberalization can better curb litigation risks of underlying stock firms, with corporate governance mechanism identified as the main influencing channel.

APPLIED ECONOMICS (2021)

添加到收藏夹

Article Business, Finance

Does corporate social responsibility reduce share price premium? Evidence from China's A- and H-shares

Lu Deng et al.

Summary: This study reveals that Chinese companies that issue CSR reports tend to have significantly lower stock price premiums between their A-shares and H-shares, and higher quality of CSR disclosure is associated with lower premiums. The negative relation between CSR disclosure (quality) and stock price premiums can be attributed to the reduction in information asymmetry resulting from high-quality CSR disclosure.

PACIFIC-BASIN FINANCE JOURNAL (2021)

添加到收藏夹

Article Green & Sustainable Science & Technology

Time-varying causality between renewable and non-renewable energy consumption and real output: Sectoral evidence from the United States

Furkan Emirmahmutoglu et al.

Summary: The research investigates the time-varying causality between energy consumption by different sectors and real GDP in the U.S. The traditional causality approach and time-varying causality technique are both used in the study to determine the changing relationship over time. The results show that while causality relationships exist in industrial and transportation sectors, they are detected for all sectors over different time periods when using the timevarying causality technique.

RENEWABLE & SUSTAINABLE ENERGY REVIEWS (2021)

添加到收藏夹

Article Engineering, Mechanical

Dynamic causality analysis using overlapped sliding windows based on the extended convergent cross-mapping

Xinlei Ge et al.

Summary: The paper proposes a new method called sliding windows based on the extended convergent cross-mapping, which introduces a dynamic perspective in causality analysis and clarifies causal effects for a more detailed and intuitive understanding of real system dynamics. By utilizing cross-mapping coefficient, it quantifies causal relationships between time series and effectively eliminates the impact of causal variability, making it possible to identify dynamic evolution of coupling and time-varying characteristics of coupling strength under different time delays. Applied to financial systems, it supplements and deepens current understanding of time-varying causal relationships between Chinese and American stock markets.

NONLINEAR DYNAMICS (2021)

添加到收藏夹

Article Environmental Studies

Time varying causal relationship between renewable energy consumption, oil prices and economic activity: New evidence from the United States

Bechir Raggad

Summary: The study examines the causal relationships between renewable energy consumption, oil prices, and economic activity in the US from January 1986 to August 2020. The results suggest varying causal relationships between the variables over time, with economic growth and renewable energy consumption showing more stability. Changes in WTI prices are found to impact economic growth in several subperiods.

RESOURCES POLICY (2021)

添加到收藏夹

Article Environmental Studies

Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility

Farrukh Shahzad et al.

Summary: The study utilizes a long sample period and the recent time-varying Granger causality test to detect changes in the relationships among commodity sector indices, revealing significant time changes and heterogeneous sequential feedback effects.

RESOURCES POLICY (2021)

添加到收藏夹

Article Environmental Studies

Time-varying causality inference of different nickel markets based on the convergent cross mapping method

Xiaotian Sun et al.

Summary: Through analysis of the dynamic interactions between economic and financial variables, it was found that as the time scale increases, the diversity of causality patterns decreases. Only a few patterns play a significant role in the evolution of causality, with the influence of the stock market on other nickel markets weaker than the influence of other nickel markets on the stock market.

RESOURCES POLICY (2021)

添加到收藏夹

Article

Stock market comovements: Evidence from the COVID-19 pandemic

Chokri Zehri

Journal of Economic Asymmetries (2021)

添加到收藏夹

Article Environmental Studies

How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques

Oluwasegun B. Adekoya et al.

Summary: This study examines the impact of the COVID-19 pandemic on the connectedness among commodity and financial markets, analyzing volatility spillovers and using both linear and non-linear causality tests. The results show increased connectedness across markets during the pandemic, indicating significant risk transmission.

RESOURCES POLICY (2021)

添加到收藏夹

Article Business, Finance

Impacts of the COVID-19 pandemic on financial market connectedness

Mike K. P. So et al.

Summary: This paper examines the impacts of the COVID-19 pandemic on the connectedness of the Hong Kong financial market and finds that compared to previous financial crises, both network density and clustering were higher during the COVID-19 outbreak.

FINANCE RESEARCH LETTERS (2021)

添加到收藏夹

Article Business, Finance

Stock markets and the COVID-19 fractal contagion effects

David Iheke Okorie et al.

Summary: This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock markets, confirming its presence but also noting that it diminishes over time, reducing its impact on stock market returns and volatility in the medium to long term.

FINANCE RESEARCH LETTERS (2021)

添加到收藏夹

Article Business, Finance

Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic

Ahmed S. Baig et al.

Summary: This study examines the impact of the COVID-19 pandemic on the microstructure of US equity markets, finding that increases in confirmed cases and deaths, as well as declining sentiment and lockdown measures, contribute to increased market illiquidity and volatility.

FINANCE RESEARCH LETTERS (2021)

添加到收藏夹

Article Environmental Studies

Time-varying causality in the price-rent relationship: revisiting housing bubble symptoms

Chien-Fu Chen et al.

Summary: This study aims to trace the status of housing markets across four first-tier cities in China by proposing a time-varying version of the Granger-causality test. The empirical results indicate various causal relationships, including within-city spillovers over time in Shanghai, Guangzhou, and Shenzhen, with Beijing being particularly noteworthy for exuberant behavior due to a housing bubble.

JOURNAL OF HOUSING AND THE BUILT ENVIRONMENT (2021)

添加到收藏夹

Article Business, Finance

Do the Shanghai-Hong Kong & Shenzhen-Hong Kong Stock Connect programs enhance co-movement between the Mainland Chinese, Hong Kong, and US stock markets?

Shuangqi Li et al.

Summary: This study examines the effects of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect on the relationships between the Mainland Chinese, Hong Kong, and U.S. stock markets. It finds that while the programs do not substantially enhance daily price co-movements, they significantly increase weekly price co-movements after the Shenzhen-Hong Kong Stock Connect.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2021)

添加到收藏夹

Article Business, Finance

The role of information and communication technology (internet penetration) on Asian stock market efficiency: Evidence fromquantile-on-quantilecointegration and causality approach

Sahar Afshan et al.

Summary: This study aimed to evaluate the long-term and causal relationship between ICT and Asian stock market efficiency using different countries' data, finding positive linkages between stock market efficiency and internet use in most Asian countries.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2021)

添加到收藏夹

Article Business, Finance

Information flow and price discovery dynamics

Lei Wu et al.

Summary: The researchers introduced a new strategy and dynamic price discovery measure to study the efficiency of price discovery in markets, finding that the Canadian stock market is more efficient in price discovery for Canadian stocks cross-listed in the U.S. market, with higher trading volume in the market leading to increased efficiency. Additionally, they found that different markets were more efficient for different sectors, with NYSE Alternext being more efficient for junior stocks and NASDAQ more efficient for technology stocks.

REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING (2021)

添加到收藏夹

Article Business

How Does the Shanghai-Hong Kong Stock Connect Policy Impact the A-H Share Premium?

Junchang Pan et al.

Summary: The study shows that the Shanghai-Hong Kong Stock Connect Policy has significantly reduced the A-H share premium and price disparity, with imbalanced demand being the main explanation for the variations in the A-H share premium.

EMERGING MARKETS FINANCE AND TRADE (2021)

添加到收藏夹

Article Economics

Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient

Oussama Tilfani et al.

Summary: This study emphasizes the importance of the interrelationship between stock markets in terms of economic growth and contagion risks. By continuously evaluating the correlations between markets using a sliding windows approach, the authors found changing trends in correlations with the US stock market before and after the crisis.

EMPIRICAL ECONOMICS (2021)

添加到收藏夹

Article Mathematics, Interdisciplinary Applications

Segment Stock Market, Foreign Investors, and Cross-Correlation: Evidence from MF-DCCA and Spillover Index

Nan Xu et al.

COMPLEXITY (2020)

添加到收藏夹

Article Economics

Relationship between green bonds and financial and environmental variables: A novel time-varying causality

Shawkat Hammoudeh et al.

ENERGY ECONOMICS (2020)

添加到收藏夹

Article Mathematics, Applied

Nonlinear Approximations to Critical and Relaxation Processes

Simon Gluzman

AXIOMS (2020)

添加到收藏夹

Article Business, Finance

What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?

Yang Hu et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)

添加到收藏夹

Article Business, Finance

The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry

Shaen Corbet et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)

添加到收藏夹

Article Business, Finance

Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks

Efthymios G. Pavlidis et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2020)

添加到收藏夹

Article Economics

The impacts of the US dollar index and the investors' expectations on the AH Premium - a macro perspective

Zhang Xuechun et al.

CHINA ECONOMIC JOURNAL (2020)

添加到收藏夹

Article Business, Finance

Shanghai-Hong Kong Stock Exchange Connect Program: A story of two markets and different groups of stocks

Weishen Wang

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT (2020)

添加到收藏夹

Article Energy & Fuels

Price discovery in Brazil: causal relations among prices for crude oil, ethanol, and gasoline

Larissa Nogueira Hallack et al.

ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY (2020)

添加到收藏夹

Article Business, Finance

Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

Shuping Shi et al.

JOURNAL OF FINANCIAL ECONOMETRICS (2020)

添加到收藏夹

Article Business, Finance

Option trading and the cross-listed stock returns: Evidence from Chinese A-H shares

Xingguo Luo et al.

JOURNAL OF FUTURES MARKETS (2020)

添加到收藏夹

Article Physics, Multidisciplinary

Asymmetric risk transmission effect of cross-listing stocks between mainland and Hong Kong stock markets based on MF-DCCA method

Guangxi Cao et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2019)

添加到收藏夹

Article Business, Finance

On the time-varying links between oil and gold: New insights from the rolling and recursive rolling approaches

Mehmet Balcilar et al.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2019)

添加到收藏夹

Article Economics

The impact of market trading mechanism on A-H share price premium

Yi-jun Ding et al.

APPLIED ECONOMICS LETTERS (2019)

添加到收藏夹

Article Physics, Multidisciplinary

Does the Shanghai-Hong Kong Stock Connect significantly affect the A-H premium of the stocks?

Eddie C. M. Hui et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2018)

添加到收藏夹

Article Physics, Multidisciplinary

Financial liberalization and stock market cross-correlation: MF-DCCA analysis based on Shanghai-Hong Kong Stock Connect

Qingsong Ruan et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2018)

添加到收藏夹

Article Mathematics, Interdisciplinary Applications

CHANGE DETECTION AND THE CAUSAL IMPACT OF THE YIELD CURVE

Shuping Shi et al.

JOURNAL OF TIME SERIES ANALYSIS (2018)

添加到收藏夹

Article Business

The Dynamics of Financial Market Integration Between Chinese A- and H-Shares

Di Yuan et al.

EMERGING MARKETS FINANCE AND TRADE (2018)

添加到收藏夹

Article Business

Can Insurance Activity Act as a Stimulus of Economic Growth? Evidence from Time-Varying Causality in China

Deng-Kui Si et al.

EMERGING MARKETS FINANCE AND TRADE (2018)

添加到收藏夹

Article Business, Finance

The interactions between price discovery, liquidity and algorithmic trading for US-Canadian cross-listed shares

Bart Frijns et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2018)

添加到收藏夹

Article Business, Finance

The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH-MIDAS approach

Libing Fang et al.

JOURNAL OF FUTURES MARKETS (2018)

添加到收藏夹

Article Business, Finance

Capital account reform and short- and long-run stock price leadership

Charlie X. Cai et al.

EUROPEAN JOURNAL OF FINANCE (2017)

添加到收藏夹

Article Business, Finance

Time-varying causality between stock and housing markets in China

Guangping Shi et al.

FINANCE RESEARCH LETTERS (2017)

添加到收藏夹

Article Business, Finance

The impact of Shanghai-Hong Kong Stock Connect policy on A-H share price premium

Qingliang Fan et al.

FINANCE RESEARCH LETTERS (2017)

添加到收藏夹

Article Economics

Return and volatility spillovers effects: Evaluating the impact of Shanghai Hong Kong Stock Connect

Rui Huo et al.

ECONOMIC MODELLING (2017)

添加到收藏夹

Article Economics

Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks

Marc K. Chan et al.

APPLIED ECONOMICS (2016)

添加到收藏夹

Article Business, Finance

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

Dimos S. Kambouroudis et al.

JOURNAL OF FUTURES MARKETS (2016)

添加到收藏夹

Article Economics

Energy consumption and economic growth in the United States

Vipin Arora et al.

APPLIED ECONOMICS (2016)

添加到收藏夹

Article Statistics & Probability

An empirical study on the threshold cointegration of Chinese A and H cross-listed shares

Haiqiang Chen et al.

JOURNAL OF APPLIED STATISTICS (2015)

添加到收藏夹

Article Economics

TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

Peter C. B. Phillips et al.

INTERNATIONAL ECONOMIC REVIEW (2015)

添加到收藏夹

Article Economics

TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL-TIME DETECTORS

Peter C. B. Phillips et al.

INTERNATIONAL ECONOMIC REVIEW (2015)

添加到收藏夹

Article Engineering, Mechanical

Cross-correlations and structures of stock markets based on multiscale MF-DXA and PCA

Aijing Lin et al.

NONLINEAR DYNAMICS (2014)

添加到收藏夹

Article Economics

Is pairs trading profitable on China AH-share markets?

Mao Liang Li et al.

APPLIED ECONOMICS LETTERS (2014)

添加到收藏夹

Article Economics

Price discovery in energy markets

Keshab Shrestha

ENERGY ECONOMICS (2014)

添加到收藏夹

Article Physics, Multidisciplinary

Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets

Feng Ma et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2013)

添加到收藏夹

Article Engineering, Mechanical

Cross-sample entropy statistic as a measure of synchronism and cross-correlation of stock markets

Wenbin Shi et al.

NONLINEAR DYNAMICS (2013)

添加到收藏夹

Article Economics

Co-integration and causality analysis between stock market prices and their determinates in Jordan

Hussain Ali Bekhet et al.

ECONOMIC MODELLING (2013)

添加到收藏夹

Article Business, Finance

Who moves first? An intensity-based measure for information flows across stock exchanges

Kerstin Kehrle et al.

JOURNAL OF BANKING & FINANCE (2013)

添加到收藏夹

Article Economics

Economic growth and financial development in Asian countries: A bootstrap panel Granger causality analysis

Shun-Jen Hsueh et al.

ECONOMIC MODELLING (2013)

添加到收藏夹

Article Economics

The impact of growth, energy and financial development on the environment in China: A cointegration analysis

Abdul Jalil et al.

ENERGY ECONOMICS (2011)

添加到收藏夹

Article Business, Finance

The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares

Charlie X. Cai et al.

JOURNAL OF BANKING & FINANCE (2011)

添加到收藏夹

Article Physics, Multidisciplinary

Network structure of cross-correlations among the world market indices

Mehmet Eryigit et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2009)

添加到收藏夹

Article Economics

Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices

Robert K. Kaufmann et al.

ENERGY ECONOMICS (2009)

添加到收藏夹

Article Economics

Financial development and economic growth: evidence from panel unit root and cointegration tests

DK Christopoulos et al.

JOURNAL OF DEVELOPMENT ECONOMICS (2004)

添加到收藏夹

Article Economics

The direction of causality between financial development and economic growth

C Calderón et al.

JOURNAL OF DEVELOPMENT ECONOMICS (2003)

添加到收藏夹

Article Business, Finance

Cross-border listings and price discovery: Evidence from US-listed Canadian stocks

CS Eun et al.

JOURNAL OF FINANCE (2003)

添加到收藏夹

Article Business, Finance

Liquidity provision and specialist trading in NYSE-listed non-US stocks

JM Bacidore et al.

JOURNAL OF FINANCIAL ECONOMICS (2002)

添加到收藏夹

© Peeref 2019-2024. All rights reserved.