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
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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 |
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Schools and Departments: | University of Sussex Business School > 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: | 02 Jul 2019 23:44 |
URI: | http://sro.sussex.ac.uk/id/eprint/38192 |
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