Time Series Analysis on Chinese A and B Stock Market Predictive Ability

This article tests four prevalent moving average technical trading rules for China stock market and cross-national information from Hong Kong stock market is incorporated in the technical trading rules to predict the tendency of the China stock market.Our results demonstrate that the technical trading rules have certain value in the markets of Shanghai composite index,Shenzhen composite index,Component B-Share Index on the Shanghai Stock Exchange and Component B-Share Index on the Shenzhen Stock Exchange.Applying the information reflected in the Hong Kong stock market to predict domestic stock market trend has great disparity with the effect which uses domestic stock market information independently.This is mainly due to the segmentation extent between the two stock markets which is far more than the one between trade markets.