A Study on the Integrated Property of A Chinese Petroleum Firm Stock Prices

G. L. Zou
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G. L. Zou: School of Tourism and Business, Chengdu University, Chengdu, China

Sumerianz Journal of Business Management and Marketing, 2019, vol. 2, issue 1, 15-18

Abstract: This paper argues that a significant historical event (such as the PetroChina listing) may have been a shock to Chinese stock markets. Similar energy stock prices might not be mean-reverting. Applying trading data from 1997-2017 and the ADF, PP unit root and Perron break-point tests, this study suggests that the Geo Jade Petroleum stock prices are integrated of order one and trend-stationary. The date of the structural shift occurred in May 2007 is almost synchronously with that of the PetroChina listing event. The prices are not mean-reverting.

Keywords: Mean reversion; Structural shift; Petroleum; Stock price; Unit root (search for similar items in EconPapers)
Date: 2019
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