Bank share prices and stock market integration in Greater China

Yao, S., Luo, D. and Morgan, S. (2010) Bank share prices and stock market integration in Greater China. Journal of the Asia Pacific Economy, 15 (4). pp. 388-395. ISSN 1354-7860

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Publisher's URL: http://dx.doi.org/10.1080/13547860.2010.516152

Abstract

This paper empirically analyzes the relationship between the Shanghai Stock Exchange (SSE) Composite Index and the indexes of 10 Chinese listed banks. In particular, we try to test whether the listing of these banks has played a role in leading the Chinese stock market boom during 2007. Using daily prices from 1 June 2006 to 15 November 2007, we found that a unidirectional causality relationship existed either way between 10 most bank stock prices and the market index while the bidirectional relationship only identified among five of the ten banks.We also observed that the market indexes of SSE, Hong Kong and Taiwan followed a similar trend, indicating a possible cointegration of the Greater China stock markets, which was in part driven by the listing of Chinese banks.

Item Type:Article
Uncontrolled Keywords:Shanghai stock exchange, causality tests, CSI 300 financial index
Faculty/Department:Faculty of Business and Law > Department of Business Management
ID Code:12314
Deposited By: Dr D. Luo
Deposited On:14 Jan 2011 11:01
Last Modified:12 Aug 2013 08:03

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