Testing the Integration of US and Chinese stock markets in a Fama-French framework

Brooks, R, Di Iorio, A, Faff, R and Wang, Y 2009, 'Testing the Integration of US and Chinese stock markets in a Fama-French framework', Journal of Economic Integration, vol. 24, no. 3, pp. 435-454.


Document type: Journal Article
Collection: Journal Articles

Title Testing the Integration of US and Chinese stock markets in a Fama-French framework
Author(s) Brooks, R
Di Iorio, A
Faff, R
Wang, Y
Year 2009
Journal name Journal of Economic Integration
Volume number 24
Issue number 3
Start page 435
End page 454
Total pages 20
Publisher Sejong University
Abstract The Chinese economy has undergone spectacular growth in recent decades, and as part of an ongoing liberalisation process is now opening up its stock markets to greater foreign investment. This paper explores the integration and segmentation between the US and Chinese stock markets. Our analysis extends the work of Jorion and Schwartz (1986) to a Fama-French framework using both Chinese and US Fama-French factors. Despite the ongoing liberalisation process in China our results support the segmentation hypothesis.
Subject Financial Economics
Copyright notice 2009 -center for International Economics, Sejong Institution
ISSN 1225-651X
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