On the integration of China's main stock exchange with the international financial market

Extending published bivariate analyses on the revenues at the stock markets of New York and Shanghai by a tri-variate analysis, which also includes the Hong Kong stock market, we demonstrate that bivariate inferences on co-movement are highly fragile. In fact, rather common opinions like "China's stock market has become more and more integrated to the world market in the past twenty years" can easily be refuted. We do so also by demonstrating that the statistical findings from various earlier analyses are internally inconsistent. A rather straight-forward analysis based on standard and partial correlations over a running window, which does not pretend to unveil causality, indicates that although the Hong Kong market shows substantial though varying co-movement with both the New York and the Shanghai markets, an apparent systematically intensifying direct link between New York and Shanghai has not emerged yet.