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China Insights

Monthly update on Chinese markets
30 June 2022
    Download the full reportPDF, 2.25MB

    Summary

    • If two securities are cointegrated, their price series exhibit a stable long-term pattern. An investor could potentially formulate an investment strategy to monetise any deviation from this long-term pattern
    • The A- and H-shares of a Chinese company dually listed in mainland China and Hong Kong would make good candidates for cointegration testing
    • Of the twenty-five A-H share pairs we tested, nine pairs have shown evidence of cointegration. Cointegration also seems more likely among A-H share pairs in the financial sector