Are the China-related stock markets segmented with both world and regional stock markets? |
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| Affiliation: | 1. Department of Economics, Pennsylvania State University-University Park; Hanqing Advanced Institute of Economics and Finance, Renmin University of China, Beijing, China;2. Department of Finance, Hanqing Advanced Institute of Economics and Finance, Renmin University of China, Beijing, China;3. Institute of China''s Economic Reform and Development, Renmin University of China, Beijing, China |
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| 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. |
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