Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238913 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 11 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
The cross-boundary Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect provides a special data set to study the dynamic relationships among volatility, trading volume and turnover among three stock markets, namely Shanghai, Shenzhen, and Hong Kong. We employ the Granger Causality test with the vector autoregressive model (VAR) to examine whether Stock Connect turnover contributes to future realized volatility and market volume of these three markets. Our results support the evidence of causality from Stock Connect turnover to market volatility and trading volume. The finding of this causality is consistent with the implication of the sequential information arrival model in the literature.
Subjects: 
Volatility-Volume
realized volatility
Stock Connect
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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