Full text currently not available from the LRA. The article is embargoed until September 2012.This study examines the degree of price integration between aggregate equity\ud market indices of Hong Kong, the Chinese Shanghai and Shenzhen A and B\ud share markets, and the international Brent crude oil price. The application of\ud Vector Autoregressive (VAR) methods reveals that the regions’ markets are\ud generally price-segmented, with the prominent exception of ShanghaiBmarket\ud which is price-integrated with the domestic A share markets in both Shanghai\ud and Shenzhen. The evidence would suggest that Chinese markets are more\ud heavily influenced by domestic events in the long term than external influences.Peer-reviewe
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