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|Title:||An examination of price integration between stock market and international crude oil indices: evidence from China|
Yin Man, Shuk
|Publisher:||Routledge (Taylor & Francis)|
|Citation:||Applied Economics Letters, 2011, 18 (16), pp. 1595-1602.|
|Abstract:||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 ShanghaiBmarket 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.|
|Rights:||© Taylor & Francis 2011.|
|Description:||Full text currently not available from the LRA. The article is embargoed until September 2012.|
|Appears in Collections:||Published Articles, School of Management|
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