A Study on the Integrated Property of A Chinese Petroleum Firm Stock Prices

This paper argues that a significant historical event (such as the PetroChina listing) may have been a shock to Chinese stock markets. Similar energy stock prices might not be mean-reverting. Applying trading data from 1997-2017 and the ADF, PP unit root and Perron break-point tests, this study suggests that the Geo Jade Petroleum stock prices are integrated of order one and trend-stationary. The date of the structural shift occurred in May 2007 is almost synchronously with that of the PetroChina listing event. The prices are not mean-reverting.