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

journal contribution
posted on 2023-06-08, 11:02 authored by Bruce Hearn, Shuk-Yin Man
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.

History

Publication status

  • Published

File Version

  • Published version

Journal

Applied Economics Letters

ISSN

1350-4851

Publisher

Taylor & Francis

Issue

16

Volume

18

Page range

1595-1602

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-23

First Compliant Deposit (FCD) Date

2012-02-24

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