Evaluating time-varying granger causality between US-China political relation changes and China stock market

Yifei Cai, Hao-Wen Chang and Tsangyao Chang

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: This study investigates the Granger causality between US-China political relation and Chinese stock market returns with bootstrapping method and a rolling-window technique. The results show that shifts in US-China political relation make long-lasting Granger causal impacts on stock market variations, but the reverse impacts are short-lived.

Keywords: US-China political relation; China's stock market; Causality; Bootstrapping; Rolling-window technique (search for similar items in EconPapers)
JEL-codes: C22 F50 G10 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323002908
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002908

DOI: 10.1016/j.frl.2023.103918

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().