TY - JOUR
T1 - On the convergence of the Chinese and Hong Kong stock markets
T2 - A cointegration analysis of the A and H shares
AU - Su, Qian
AU - Chong, Terence Tai-Leung
AU - Yan, Isabel Kit-Ming
PY - 2007/11
Y1 - 2007/11
N2 - This article explores the potential existence of comovements between the stock prices in Mainland China and Hong Kong. The cointegration test shows that the prices of a substantial number of A shares and H shares have started to cointegrate with each other after the launch of the Closer Economic Partnership Arrangement in recent years. This confirms the role of increased financial openness in accounting for the stock market comovements between Mainland China and Hong Kong.
AB - This article explores the potential existence of comovements between the stock prices in Mainland China and Hong Kong. The cointegration test shows that the prices of a substantial number of A shares and H shares have started to cointegrate with each other after the launch of the Closer Economic Partnership Arrangement in recent years. This confirms the role of increased financial openness in accounting for the stock market comovements between Mainland China and Hong Kong.
UR - http://www.scopus.com/inward/record.url?scp=36048940509&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-36048940509&origin=recordpage
U2 - 10.1080/09603100600993760
DO - 10.1080/09603100600993760
M3 - RGC 21 - Publication in refereed journal
SN - 0960-3107
VL - 17
SP - 1349
EP - 1357
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 16
ER -