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

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  • Bruce Hearn
  • Shuk Yin Man

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.

Suggested Citation

  • Bruce Hearn & Shuk Yin Man, 2011. "An examination of price integration between stock market and international crude oil indices: evidence from China," Applied Economics Letters, Taylor & Francis Journals, vol. 18(16), pages 1595-1602.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:16:p:1595-1602
    DOI: 10.1080/13504851.2011.554363
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    Cited by:

    1. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).

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