Empirical analysis of the correlation and cointegration of Chinese stock market A and B

The paper studies the relationship between the Chinese stock market A and B by using the correlation,cointegration and Granger causality test in order to find out the regulation of the moving of the stock pricing.According to the result,stock market A and B have cointegration relation ever since stock market B was opened to the mainland investors.The result shows that stock market A was prior to stock market B in Shanghai,but the situation was not found in Shenzhen stock market.The result also offers a reference to judge and analyze the basic characteristics and investor behavior of Chinese stock market.