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

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). pp. 1595-1602. ISSN 1350-4851

[img] PDF - Published Version
Restricted to SRO admin only

Download (653kB)

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 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.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
Related URLs:
Depositing User: Bruce Hearn
Date Deposited: 23 Apr 2012 14:09
Last Modified: 08 Mar 2017 04:54
URI: http://sro.sussex.ac.uk/id/eprint/38192

View download statistics for this item

📧 Request an update