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
1595-1602
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Man, Shuk Yin
1097fbf9-a391-43a1-a955-81ab92e05f6d
November 2011
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), .
(doi:10.1080/13504851.2011.554363).
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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e-pub ahead of print date: 30 March 2011
Published date: November 2011
Keywords:
Causality, China, Financial market integration, Oil
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Local EPrints ID: 423323
URI: http://eprints.soton.ac.uk/id/eprint/423323
ISSN: 1350-4851
PURE UUID: 4a6e5851-a489-4af9-aad7-5fc339b18e04
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Date deposited: 20 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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Author:
Shuk Yin Man
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