INTEGRATION ANALYSIS OF THE PEOPLE’S REPUBLIC OF CHINA STOCK MARKETS

Abstract

This study analyzes the integration between the People’s Republic of China stock markets, namely Shanghai Stock Exchange (SSE), Shenzhen Stock Exchange (SZSE), and Hong Kong Exchanges and Clearing Limited (HKEx), in both long run and short run for the period from 3rd July 1997 to 30th June 2010. As Hong Kong rejoined China in 1st July 1997, this study would imply a view on economy development tendency particularly financial market trends after the twelve years. The result obtained from the tests indicates that there is no long-run stable relationship between the three stock markets, but short-run causality exists.