Co-integrated or not? After the Shanghai–Hong Kong and Shenzhen–Hong Kong Stock Connection Schemes

Qiyu Wang and Terence Tai Leung Chong

Economics Letters, 2018, vol. 163, issue C, 167-171

Abstract: This paper examines stock market comovements between China and Hong Kong. The integration test results confirm that a substantial number of A-share and H-share stocks began to co-integrate after the launch of the Shanghai–Hong Kong Stock Connection Scheme11Shanghai–Hong Kong Stock Connection Scheme is an investment scheme that connects the Shanghai Stock Exchange and the Stock Exchange of Hong Kong. and the Shenzhen–Hong Kong Stock Connection Scheme,22Shenzhen–Hong Kong Stock Connection Scheme is an investment scheme that connects the Shenzhen Stock Exchange and the Stock Exchange of Hong Kong. which demonstrates the effects of the two schemes in promoting financial integration and cross-border capital flows.

Keywords: Cointegration; A&H shares (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:163:y:2018:i:c:p:167-171

DOI: 10.1016/j.econlet.2017.12.009

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