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An examination of price integration between stock market and international crude oil indices: Evidence from China

An examination of price integration between stock market and international crude oil indices: Evidence from China
An examination of price integration between stock market and international crude oil indices: Evidence from China

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 ShanghaiBmarket 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.

Causality, China, Financial market integration, Oil
1350-4851
1595-1602
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Man, Shuk Yin
1097fbf9-a391-43a1-a955-81ab92e05f6d
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Man, Shuk Yin
1097fbf9-a391-43a1-a955-81ab92e05f6d

Hearn, Bruce and Man, Shuk Yin (2011) An examination of price integration between stock market and international crude oil indices: Evidence from China. Applied Economics Letters, 18 (16), 1595-1602. (doi:10.1080/13504851.2011.554363).

Record type: Article

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 ShanghaiBmarket 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.

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More information

e-pub ahead of print date: 30 March 2011
Published date: November 2011
Keywords: Causality, China, Financial market integration, Oil

Identifiers

Local EPrints ID: 423323
URI: http://eprints.soton.ac.uk/id/eprint/423323
ISSN: 1350-4851
PURE UUID: 4a6e5851-a489-4af9-aad7-5fc339b18e04
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

Catalogue record

Date deposited: 20 Sep 2018 16:30
Last modified: 20 Jul 2019 00:22

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Contributors

Author: Bruce Hearn ORCID iD
Author: Shuk Yin Man

University divisions

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