Please use this identifier to cite or link to this item:
Title: An examination of price integration between stock market and international crude oil indices: evidence from China
Authors: Hearn, Bruce
Yin Man, Shuk
First Published: Mar-2011
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.
DOI Link: 10.1080/13504851.2011.554363
ISSN: 1350-4851
eISSN: 1466-4291
Status: Peer-reviewed
Type: Article
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

Files in This Item:
There are no files associated with this item.

Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.