1[2]Bailey W. Risk and Return on China New Stock Market: Some Preliminary Evidence[J]. Pacific-Basin Finance Journal, 1994, 2(1): 243～260
2[3]Baig T, Goldfajn I. Financial Market Contagion in the Asian crisis[C]. IMF Staff Papers, 1999, 46(2): 167～195
3[4]Chang T Y, Nieh C C. International Transmission of Stock Price Movements Among Taiwan and Its Trading Partners: Hong Kong, Japan and the United States[J]. Review of Pacific Basin Financial Markets and Policies, 2001,4(4): 379～401
4[5]Chen G M, Firth M, Rui O M. Stock Market Linkages: Evidence from Latin America[J]. Journal of Banking and Finance, 2002, 26(6):1113～1141
5[6]Dickey D A, Fuller W A. Distribution of the Estimators for Autoregressive Time Series with a Unit Root[J]. Journal of American Statistical Association, 1979, 74(366): 427～431
6[7]Dickey D A, Fuller W A. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root[J]. Econometrica, 1981,49(4): 1057～1072
7[8]Engle R F, Granger C W J. Co-integration and Error Correction: Representation, Estimation and Testing[J]. Econometrica, 1987,55(2):251～276
8[9]Francisco C, Vicente M. Has 1997 Asian Crisis Increased Information Flows between International Markets[J]. International Review of Economics and Finance, 2003, 12(1): 111～143
9[10]Granger C W J. Some Recent Developments in a Concept of Causality[J]. Journal of Econometrics, 1988,39(1/2): 199～211
10[11]Hamilton J D. Time Series Analysis[M]. Princeton:Princeton University Press, 1994.
1Chen,G.M.,B.S.Lee and O.Rui,2001,Foreign ownership restrictions and market segmentation in China's stock markets[J]. Journal of Financial Research 1,133-155.
2Amid,Y and H.Mendelson,1986,Asset pricing and the bid-ask spread[J] ,Journal of Financial Economics,17:223-247.
3Chui,A.C.W.and C.C.Y.Kwok,1998,Cross-autocorrelation between A shares and B shares in the Chinese stock market[J]. Journal of Financial Research 21,333-353.
4J FERMALD, J ROGERS. Puzzles in the Chinese stock mar- ket[J. Review of Economics and Statistics, 2002, 84(3) : 416 -432.
5W STEVEN, J LI. Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A-and H-shares[J. Journal of Banking and Finance, 2004, 28(6): 1273-1297.
6P D'Urso, T Gastaldi. Linear fuzzy regression analysis with asymmetric spreadsM//S Borra, R Roeci, M Vichi, M Schader (Eds.), Advances in Data Science and Classification. Heidelberg Springer, 2001 257-264.
7R XU, C LI. Multidimensional least-squares fitting with a fuzzymodelJ. Fuzzy Sets and Systems, 2001, 119(2) 215 -223.
8P D'Urso, T Gastaldi. An "orderwise" polynomial regression procedure for fuzzy data[J. Fuzzy Sets and Systems, 2002, 130(1) : 1-19.
