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On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares

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  • Qian Su
  • Terence Tai-Leung Chong
  • Isabel Kit-Ming Yan

Abstract

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.

Suggested Citation

  • Qian Su & Terence Tai-Leung Chong & Isabel Kit-Ming Yan, 2007. "On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares," Applied Financial Economics, Taylor & Francis Journals, vol. 17(16), pages 1349-1357.
    • Handle: RePEc:taf:apfiec:v:17:y:2007:i:16:p:1349-1357
    DOI: 10.1080/09603100600993760
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    Citations

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    Cited by:

    1. Dong, Yingjie & Huang, Wenxin & Tse, Yiu-Kuen, 2023. "Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model," Journal of International Money and Finance, Elsevier, vol. 131(C).
    2. Marc K. Chan & Simon S. Kwok, 2016. "Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks," Applied Economics, Taylor & Francis Journals, vol. 48(6), pages 517-535, February.
    3. Chan, Marc K. & Kwok, Simon, 2018. "Connecting the markets? Recent evidence on China’s capital account liberalization," Economic Modelling, Elsevier, vol. 70(C), pages 417-428.
    4. Wang, Qiyu & Chong, Terence Tai-Leung, 2018. "Co-integrated or not? After the Shanghai–Hong Kong and Shenzhen–Hong Kong Stock Connection Schemes," Economics Letters, Elsevier, vol. 163(C), pages 167-171.
    5. Cai, Charlie X. & McGuinness, Paul B. & Zhang, Qi, 2011. "The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2123-2136, August.
    6. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    7. Zhang, Bing & Li, Xiao-Ming, 2014. "Has there been any change in the comovement between the Chinese and US stock markets?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 525-536.
    8. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2018. "Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets," Economic Modelling, Elsevier, vol. 69(C), pages 237-248.
    9. Ravi Kashyap, 2016. "Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs," Papers 1603.01341, arXiv.org, revised Sep 2019.
    10. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
    11. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2017. "Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets," Discussion Papers in Economics and Business 17-01, Osaka University, Graduate School of Economics.
    12. Wang, Weishen, 2020. "Shanghai-Hong Kong Stock Exchange Connect Program: A story of two markets and different groups of stocks," Journal of Multinational Financial Management, Elsevier, vol. 55(C).

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