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
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:	Publisher
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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