Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?
Yonghong Jiang and
Applied Economics Letters, 2018, vol. 25, issue 11, 747-751
This article investigates the linear, nonlinear and time-varying Granger causality between different time horizons in the volatility of US stock market and the China Exchange-Traded Fund (ETF) market. We find evidence of linear causality from the US stock market to the China ETF market, with a bilateral nonlinear causal relationship in the longer term. Bootstrap rolling causality analysis indicates high rejection rates of a noncausal relationship running from the US stock market to the China EFT market. The causality linkage from the China ETF market to the US stock market was determined to be time-horizon-dependent, and the null hypothesis rejection rate of non-Granger causality increased in the longer term.
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:25:y:2018:i:11:p:747-751
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Economics Letters is currently edited by Anita Phillips
More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().