Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets
Abstract
:1. Introduction
2. Literature Review
2.1. Literature about Relationship between Different Prices of Cross-Listings
2.2. Literature about Time-Varying Granger Causality Analysis
3. Materials and Methods
3.1. Data Description
3.2. Methodology
4. Results and Discussions
4.1. Maximum Order of Integration
4.2. Time Varying Granger Test between Price Series
4.3. Time Varying Granger Test between Volatility Series
5. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
References
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Index | Mean Model | GARCH Model |
---|---|---|
AHXA | Sparse ARMA(5,3) (AR2 and AR4 fixed at 0) | EGARCH(2,2) (Normal distribution) |
AHXH | ARMA(1,0) | GJR-GARCH(2,1) (t distribution) |
CSI | Sparse ARMA(4,4) (AR1, MA1, and MA2 fixed at 0) | EGARCH(1,1) (t distribution) |
HSI | ARMA(2,2) | EGARCH(2,1) (t distribution) |
Mean | Std. Dev. | Skewness | Kurtosis | JB | |
---|---|---|---|---|---|
Price | |||||
CSI | 3320.952 | 787.512 | 0.567 * | 2.935 | 144.137 * |
AHXA | 2158.179 | 486.335 | 0.046 | 1.795 * | 162.776 * |
AHXH | 1971.335 | 250.006 | 0.410 * | 2.997 | 79.291 * |
HSI | 24,064.616 | 3186.906 | 0.404 * | 2.422 * | 109.918 * |
Return | |||||
CSI | 0.000143 | 0.014934 | −0.654 * | 4.902 * | 2880.361 * |
AHXA | 0.000083 | 0.014140 | −0.321 * | 6.215 * | 4366.804 * |
AHXH | 0.000034 | 0.015164 | −0.064 | 2.779 * | 866.445 * |
HSI | 0.000096 | 0.011932 | −0.318 * | 2.735 * | 882.803 * |
Volatility | |||||
CSI | 0.014 | 0.005 | 1.637 * | 8.355 * | 4406.751 * |
AHXA | 0.013 | 0.005 | 1.881 * | 8.189 * | 4594.585 * |
AHXH | 0.015 | 0.004 | 1.991 * | 7.668 * | 4210.519 * |
HSI | 0.012 | 0.003 | 1.758 * | 6.779 * | 2979.322 * |
Level | |||||||||
ADF | Intercept | 0.6046 | 0.5956 | 0.0212 * | 0.2116 | <0.01 * | <0.01 * | <0.01 * | <0.01 * |
Intercept and Trend | 0.2505 | 0.1942 | 0.0442 * | 0.0596 | <0.01 * | <0.01 * | <0.01 * | <0.01 * | |
PP | Intercept | 0.8998 | 0.8834 | 0.0564 | 0.5175 | <0.01 * | <0.01 * | <0.01 * | <0.01 * |
Intercept and Trend | 0.3944 | 0.3247 | 0.0312 * | 0.0368 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | |
First difference | |||||||||
ADF | Intercept | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * |
Intercept and Trend | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | |
PP | Intercept | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * |
Intercept and Trend | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | <0.01 * | |
Conclusion |
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Lu, X.; Ye, Z.; Lai, K.K.; Cui, H.; Lin, X. Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets. Mathematics 2022, 10, 571. https://doi.org/10.3390/math10040571
Lu X, Ye Z, Lai KK, Cui H, Lin X. Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets. Mathematics. 2022; 10(4):571. https://doi.org/10.3390/math10040571
Chicago/Turabian StyleLu, Xunfa, Zhitao Ye, Kin Keung Lai, Hairong Cui, and Xiao Lin. 2022. "Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets" Mathematics 10, no. 4: 571. https://doi.org/10.3390/math10040571
APA StyleLu, X., Ye, Z., Lai, K. K., Cui, H., & Lin, X. (2022). Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets. Mathematics, 10(4), 571. https://doi.org/10.3390/math10040571