An Examination of Price Integration Between Stock Market and International Crude Oil Indices: Evidence from China

15 Pages Posted: 13 Dec 2010 Last revised: 20 Nov 2012

See all articles by Bruce Allen Hearn

Bruce Allen Hearn

University of Southampton

Shuk Yin Man

University of Leicester

Date Written: December 12, 2010

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 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

JEL Classification: C22, G15, O16

Suggested Citation

Hearn, Bruce Allen and Man, Shuk Yin, An Examination of Price Integration Between Stock Market and International Crude Oil Indices: Evidence from China (December 12, 2010). Applied Economics Letters, 18(16), 1595-1602, (2011). Available at SSRN: https://ssrn.com/abstract=1724303

Bruce Allen Hearn (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

Shuk Yin Man

University of Leicester ( email )

University Road
Leicester, LE1 7RH
United Kingdom

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