An empirical study on the co-movement between A-shares and H-shares

摘要

With the integration of the world economy and the development of the financial globalization, financial markets are increasingly linked, so that the co-movement between A-shares and H-shares is becoming more and more remarkable. This paper selects A-shares index and H-shares index from December 10th, 2005 to March 31st, 2010, and divides the data into two stages by the financial crisis in 2008. It conducts stability test, co-integration analysis, Grainger causal relation examination and variance decomposition respectively, and draws the conclusion that in the study period, there is co-movement between A-shares and H-shares markets. The rate of return of A-shares index is the Granger reason of that of H-shares index, and the co-movement between two stock markets is more obvious after the financial crisis. Then it analyzes the reasons for the co-movement and the enhancement of the co-movement after the financial crisis.