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Bank share prices and stock market integration in Greater China

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  • Shujie Yao
  • Dan Luo
  • Stephen Morgan

Abstract

This paper empirically analyzes the relationship between the Shanghai Stock Exchange (SSE) Composite Index and the indexes of 10 Chinese listed banks. In particular, we try to test whether the listing of these banks has played a role in leading the Chinese stock market boom during 2007. Using daily prices from 1 June 2006 to 15 November 2007, we found that a unidirectional causality relationship existed either way between most bank stock prices and the market index while the bidirectional relationship only identified among five of the ten banks. We also observed that the market indexes of SSE, Hong Kong and Taiwan followed a similar trend, indicating a possible cointegration of the Greater China stock markets, which was in part driven by the listing of Chinese banks.

Suggested Citation

  • Shujie Yao & Dan Luo & Stephen Morgan, 2010. "Bank share prices and stock market integration in Greater China," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 15(4), pages 388-395.
    • Handle: RePEc:taf:rjapxx:v:15:y:2010:i:4:p:388-395
    DOI: 10.1080/13547860.2010.516152
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    References listed on IDEAS

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    1. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    2. Shujie Yao & Zhongwei Han & Genfu Feng, 2008. "Ownership Reform, Foreign Competition, and Efficiency of Chinese Commercial Banks: A Non-Parametric Approach," WIDER Working Paper Series RP2008-38, World Institute for Development Economic Research (UNU-WIDER).
    3. Shujie Yao & Zhongwei Han & Genfu Feng, 2008. "Ownership Reform, Foreign Competition and Efficiency of Chinese Commercial Banks: A Non‐parametric Approach," The World Economy, Wiley Blackwell, vol. 31(10), pages 1310-1326, October.
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