Time-varying causalities in prices and volatilities between the cross-listed stocks in Chinese mainland and Hong Kong stock markets

DOI Number:10.3390/math10040571

Affiliation of Author(s):管理工程学院

Journal:Mathematics

Funded by:国家自然科学基金、教育部人文社会科学基金、江苏省社科基金

Key Words:AH stocks; time-varying causality; recursive evolving window algorithm; LA-VAR

All the Authors:Ye Zhitao,Lai Kin Keung,Cui Hairong,Lin Xiao

First Author:Lu Xunfa

Indexed by:Journal paper

Document Code:571

Discipline:Economics

Document Type:J

Volume:10

Issue:4

Translation or Not:no

Date of Publication:2022-02-12

Included Journals:SCI

Publication links:https://www.mdpi.com/journal/mathematics