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

被引：10
作者：
Cai, Yifei [1 ]
Chang, Hao-Wen [2 ]
Chang, Tsangyao [3 ]
机构：
[1] Wuchang Univ Technol, Sch Business, Wuhan, Hubei, Peoples R China
[2] Natl Yang Ming Chiao Tung Univ, Dept Informat Management & Finance, Hsinchu 300093, Taiwan
[3] Feng Chia Univ, Dept Finance, Taichung, Taiwan
来源：
FINANCE RESEARCH LETTERS | 2023年 / 55卷
关键词：
US -China political relation; China 's stock market; Causality; Bootstrapping; Rolling -window technique; SHOCKS; RISK;
D O I：
10.1016/j.frl.2023.103918
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：6
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