On the changing structure among Chinese equity markets: Hong Kong,Shanghai, and Shenzhen

This study investigates information discovery among five Chinese equity markets measured daily over the period 1995–2014. We employ time series methods for finding structural breaks (if any) and uncovering both short-run and long-run fluctuations. We apply a new algorithm of inductive causation for use with non-Gaussian data to study the information flows in contemporaneous time. The empirical results show that there are four break dates and that the underlying causal models changed over our study period. The Shanghai A-share market dominates the other markets in the most recent period.