Abstract: This paper applies Johansen cointegration test and Causality test method based on error correction model to an empirical study on the trade data of Minsheng Bank (CMBC)’s A shares and H shares since it listed in Hong Kong. The study shows that，with the integration of capital markets in Hong Kong and mainland China，value investment concept is becoming increasingly prominent in A share market. The longterm stock prices of Minsheng Bank in both markets have stayed balanced due to its relatively balanced information release，and the shortterm price deviation will get corrected by its intrinsic value. CMBC’s A shares and H shares have instant mutual causal relation，but not significant lagged casual relationship. In the long term，there is a oneway causal relation between the A shares and H shares.

Key words: Minsheng Bank, A share, H share, cointegration test, error correction model