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

被引：25
|
作者：
Wang, Qiyu [1 ]
Chong, Terence Tai-Leung [2 ,3 ]
机构：
[1] Zhejiang Univ Finance & Econ, Hangzhou, Zhejiang, Peoples R China
[2] Chinese Univ Hong Kong, Dept Econ, Hong Kong, Hong Kong, Peoples R China
[3] Chinese Univ Hong Kong, Lau Chor Tak Inst Global Econ & Finance, Hong Kong, Hong Kong, Peoples R China
来源：
ECONOMICS LETTERS | 2018年 / 163卷
关键词：
Cointegration; A&H shares; COINTEGRATION;
D O I：
10.1016/j.econlet.2017.12.009
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 Scheme' and the Shenzhen-Hong Kong Stock Connection Scheme,2 which demonstrates the effects of the two schemes in promoting financial integration and cross-border capital flows. (C) 2017 Elsevier B.V. All rights reserved.
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页码：167 / 171
页数：5
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