The Testing Method of the Co-Movement of A+H Stock Prices

Jing Xiang, Susheng Wang, Jiaji Hao

Abstract


In this paper, the technical methods utilized for testing the co-movement of A+H stock prices of dual listed companies were analyzed through co-integration test, the Granger causality test, variance decomposition and Geweke indicators. Currently, empirical research on A+H stock markets are mainly based on two perspectives: empirical analysis of international asset price equalization theory and empirical analysis of measurement technology. Commonly there are four base unit test methods: Dickey-Fuller test, Augmented Dickey-Fuller test, Phillips and Perron test and KPSS test. These indicators and methods are then analyzed and evaluated. Research has not yet found an ideal approach to link A+H stock markets, although the above mentioned methods complement each other.  In short, these test theories for development are only used in practice. With expanding research, in the future, there will be more powerful theoretical tools for empirical analysis.


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Modern Applied Science   ISSN 1913-1844 (Print)   ISSN 1913-1852 (Online)

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