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

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.

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Year of publication:	2018-02-01
Authors:	Chong, Terence Tai Leung ; Wang, Qiyu

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Type of publication:	Book / Working Paper
Language:	English
Notes:	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.
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	BASE

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