Conditional Heteroscedastic Cointegration Analysis with Structural Breaks - A study on the Chinese stock markets
A large number of studies have shown that macroeconomic variables can explain co-movements in stock market returns in developed markets. The purpose of this paper is to investigate whether this relation also holds in China’s two stock markets. By doing a heteroscedastic cointegration analysis, the long run relation is investigated. The results show that it is difficult to determine if a cointegrat