An analysis on Granger casuality between A and B-shares index's volatility
Yang Miao · Application of Statistics and Management · 2003
In this study,we make use of Granger-casuality test to analyze the relationship between volatilities of A and B-shares index.According to the emprical results,we draw this conclusion that there is a bi-directional casuality between A and B shares volatility in Shanghai stock market,while there is no evident and reliable Granger-casuality between A and B shares volatility in Shenzhen stock market.From the angle of information-transfer and the constitution of stock trader,we explain the difference between Shanghai and Shenzhen stock market.