On the Convergence of the China and Hong Kong Stock Markets : A Cointegration Analysis of the A and H shares
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 1349 - 1357 |
| Journal / Publication | Applied Financial Economics |
| Volume | 17 |
| Issue number | 16 |
| Publication status | Published - Nov 2007 |
Link(s)
Abstract
This paper 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 (CEPA) in recent years. This confirms the role of increased financial openness in accounting for the stock market comovements between Mainland China and Hong Kong.
Research Area(s)
- Cointegration, A-H shares
Citation Format(s)
On the Convergence of the China and Hong Kong Stock Markets: A Cointegration Analysis of the A and H shares. / SU, Qian; CHONG, Terence Tai Leung; YAN, KitMing.
In: Applied Financial Economics, Vol. 17, No. 16, 11.2007, p. 1349 - 1357.
In: Applied Financial Economics, Vol. 17, No. 16, 11.2007, p. 1349 - 1357.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
