The cross-sectional relationship between stock returns and domestic and global factors in the Chinese a-share market

Wang, Y and Di Iorio, A 2007, 'The cross-sectional relationship between stock returns and domestic and global factors in the Chinese a-share market', Review of Quantitative Finance and Accounting, vol. 29, no. 2, pp. 181-203.


Document type: Journal Article
Collection: Journal Articles

Title The cross-sectional relationship between stock returns and domestic and global factors in the Chinese a-share market
Author(s) Wang, Y
Di Iorio, A
Year 2007
Journal name Review of Quantitative Finance and Accounting
Volume number 29
Issue number 2
Start page 181
End page 203
Total pages 23
Publisher Springer New York
Abstract By using an extension of the Fama and MacBeth cross-sectional regression model, this analysis examines the relationship between stock returns and (i) a local beta, (ii) two global betas, and (iii) some firm-specific characteristics in the Chinese A-share market. The results of the analysis suggest that neither the conditional local beta nor the global betas has a significant relationship with stock returns in A-shares. Our findings indicate that firm factors, such as the book-to-market ratio and firm size, are important in explaining stock returns. However, the size effect is sensitive to the specification of the model. Finally, the results of sub-period tests indicate that the A-share market did not become increasingly integrated with either the world stock markets or the Hong Kong stock market over the period 1995-2002.
Subject Applied Mathematics not elsewhere classified
DOI - identifier 10.1007/s11156-007-0026-y
ISSN 0924-865X
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