Notice of RetractionAn empirical study on the co-movement between A-shares and H-shares

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

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.