Are the China-related stock markets segmented with both world and regional stock markets?

Wang, Y and Di Iorio, A 2007, 'Are the China-related stock markets segmented with both world and regional stock markets?', Journal of International Financial Markets, Institutions and Money, vol. 17, no. 3, pp. 277-290.


Document type: Journal Article
Collection: Journal Articles

Title Are the China-related stock markets segmented with both world and regional stock markets?
Author(s) Wang, Y
Di Iorio, A
Year 2007
Journal name Journal of International Financial Markets, Institutions and Money
Volume number 17
Issue number 3
Start page 277
End page 290
Total pages 13
Publisher Elsevier
Abstract Implementing the Capital Asset Pricing Model framework, this study investigates the integration of three China-related stock markets, namely, the A-, B- and H-share markets, with both the Hong Kong stock market and the world market. An analysis of market segmentation versus integration using the Jorion and Schwartz model suggests that the A-share market was a segmented market during the period 1995-2004. However, evidence of a higher-level integration between the A- and B-share markets, and the A-share and Hong Kong stock markets is found in the sub-period tests. The hypothesis that the B- and H-share markets are becoming increasingly integrated with the world stock market is not supported.
Subject Finance
Keyword(s) market segmentation
CAPM
Chinese stock market
DOI - identifier 10.1016/j.intfin.2005.12.001
Copyright notice Copyright © 2005 Elsevier B.V. All rights reserved.
ISSN 1042-4431
Versions
Version Filter Type
Citation counts: Scopus Citation Count Cited 22 times in Scopus Article | Citations
Altmetric details:
Access Statistics: 337 Abstract Views  -  Detailed Statistics
Created: Wed, 18 Feb 2009, 09:53:18 EST by Catalyst Administrator
© 2014 RMIT Research Repository • Powered by Fez SoftwareContact us