Hearn, Bruce; Man, Shuk Yin - In: Applied Economics Letters 18 (2011) 16, pp. 1595-1602
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...