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|Type of Document
||An study on the Integration between Stock Markets in |
Mainland China and in Hong Kong
|Date of Defense
||This study use the daily stock price of the companies simultaneously listed in China and Hong-Kong to study whether there exists a stable linkage between the stock markets in China and in Hong-Kong and whether any structural break happened. The sampling period is from July 1st, 2003 to July 31st, 2007.|
We apply Johansen’s cointegration test and Hansen’s instability test to investigate whether the prices of A shares and H shares are cointegrated. We also apply Chow test and Quandt-Andrews test to study the potential structural break caused by the change of China’s exchange policy. Main results are following: (1) Johansen’s cointegration tests report that the stock prices of 18 companies (out of 29 companies) are cointegrated. (2) Hansen’s instability tests report more companies’ stock prices are cointegrated. (3) Chow tests reports that the relation between stock prices of A shares and H shares may has a structural break in 20 companies when RMB starts to appreciate. (4) The stock prices of some companies, whose stock prices were not cointegrated during the full sampling period, were cointegrated after structural break.
Compared to previous literature, we find that the link between the stock markets in China and Hong-Kong become stronger as the reform of China’s financial market is deeper.
||I-Hui Cheng - chair|
Shul-John Li - co-chair
Chun-Chieh Wang - advisor
indicate in-campus access in a year and off_campus not accessible|
|Date of Submission