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Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?

He Nie, Yonghong Jiang and Baoqing Yang

Applied Economics Letters, 2018, vol. 25, issue 11, 747-751

Abstract: 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.

Date: 2018
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Handle: RePEc:taf:apeclt:v:25:y:2018:i:11:p:747-751