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JOURNAL OF APPLIED BUSINESS AND ECONOMICS
China’s A-Share, B-Share, and H-Share Stock Markets and the World
Financial Markets: A Cointegration and Causality Analysis
Author(s): Wei Sun
Citation: Wei Sun, (2014) "China’s A-Share, B-Share, and H-Share Stock Markets and the World Financial Markets: A Cointegration and Causality Analysis," Journal of Applied Business and Economics, Vol. 16, Iss. 2, pp. 70-80
Article Type: Research paper
Publisher: North American Business Press
Abstract:
This paper investigates the degree of integration of China’s different stock markets, i.e., the Shanghai A
share market, Shanghai B share market, Shenzhen A share market, Shenzhen B share market, and Hong
Kong Hang Seng China Enterprise market, with the world’s major stock markets in America, Europe,
Asia, and other emerging markets. The Johansen and Juselius (1990) cointegration and Grangercausality
methods are adopted for economic analysis. Empirical results show various degrees of
integration of these sub-markets in China with the rest of the world. The results would be interesting to
portfolio managers in their considerations of investments in China.
