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
Date Written: December 12, 2010
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
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