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

Author

Listed:
  • 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.

Suggested Citation

  • Jing Xiang & Susheng Wang & Jiaji Hao, 2009. "The Testing Method of the Co-Movement of A+H Stock Prices," Modern Applied Science, Canadian Center of Science and Education, vol. 3(5), pages 1-46, May.
    • Handle: RePEc:ibn:masjnl:v:3:y:2009:i:5:p:46
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    References listed on IDEAS

    as
    1. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(1), pages 99-125.
    2. Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 653-670, November.
    3. Pedroni, Peter, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-670, Special I.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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