Abstract

Given the close economic and political activities in Hong Kong and China, we expect the share prices of the companies co-listed in the two financial markets to go in tandem. In this paper, we re-visit the study of co-integration of companies listed in Hong Kong (H-shares) and in the Shanghai Stock Exchanges (A-shares), employing the Vector Error Correction Models (VECM) and Johansen Trace Test prior and posterior to the global financial crisis. Our results showed consistent and significant co-integration among these A- and H- shares co-listed in these markets.

This work is licensed under a Creative Commons Attribution 4.0 License.