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

Terence Tai Leung Chong and Qiyu Wang

MPRA Paper from University Library of Munich, Germany

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 Scheme1 and the Shenzhen-Hong Kong Stock Connection Scheme2, which demonstrates the effects of the two schemes in promoting nancial integration and cross-border capital flows.

Keywords: cointegration; A&H shares (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2018-02-01
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Co-integrated or not? After the Shanghai–Hong Kong and Shenzhen–Hong Kong Stock Connection Schemes (2018)
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