Co-integrated or not? After the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connection Schemes

Chong, Terence Tai Leung and Wang, Qiyu (2018): Co-integrated or not? After the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connection Schemes. Published in: Economics Letters , Vol. 163, (1 February 2018): pp. 167-171.

Abstract

This paper examines stock market comovements between China and Hong Kong. The integration test results confirm that a substantial number of A-share and H-share stocks began to co-integrate after the launch of the Shanghai-Hong Kong Stock Connection Scheme1 and the Shenzhen-Hong Kong Stock Connection Scheme2, which demonstrates the effects of the two schemes in promoting nancial integration and cross-border capital flows.

• Item Type: MPRA Paper
• Language: English
• Keywords: cointegration, A&H shares
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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