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, 1595-1602

Abstract: 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)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:16:p:1595-1602

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DOI: 10.1080/13504851.2011.554363

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