An examination of price integration between stock market and international crude oil indices: evidence from China
Bruce Hearn and
Shuk Yin Man
Applied Economics Letters, 2011, vol. 18, issue 16, pages 1595-1602
This study examines the degree of price integration between aggregate equity market indices of Hong Kong, the Chinese Shanghai and Shenzhen A and B share markets, and the international Brent crude oil price. The application of Vector Autoregressive (VAR) methods reveals that the regions' markets are generally price-segmented, with the prominent exception of Shanghai B market which is price-integrated with the domestic A share markets in both Shanghai and Shenzhen. The evidence would suggest that Chinese markets are more heavily influenced by domestic events in the long term than external influences.
Keywords: financial market integration; causality; oil; China (search for similar items in EconPapers)
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