Co-integrated or not? After the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connection Schemes

This paper examines stock market comovements between China and Hong Kong. The integration test results confirm that a substantial number of A-share and H-share stocks began to co-integrate after the launch of the Shanghai-Hong Kong Stock Connection Scheme1 and the Shenzhen-Hong Kong Stock Connection Scheme,2 which demonstrates the effects of the two schemes in promoting financial integration and cross-border capital flows.