Are Chinese stock markets integrated with international markets?
This article investigates whether or not Chinese stock markets are integrated with international markets, based on analysis of daily data of the Shanghai "A", Shanghai "B", Shenzhen "A", Shenzhen "B", Hang Seng, and Dow Jones Industrial Average indices from 2002 to 2005. Cointegration analysis and Granger Causality tests give rise to results that imply that Chinese stock markets are becoming more integrated to global stock markets. These results further support the assertion that continual financial liberalisation and deregulation of Chinese stock markets will inevitably create a more conducive environment for investment, both domestically and internationally.
Niblock, SJ & Sloan K, 2007, 'Are Chinese stock markets integrated with international markets?', paper presented to 12th Finsia-Melbourne Centre for Financial Studies Banking and Finance Conference, Melbourne, Vic., 24-25 September.