Testing for market segmentation in the A and B share markets of China

Patricia L. Chelley-Steeley; Weihua Qian

doi:10.1080/09603100500118930

Testing for market segmentation in the A and B share markets of China

Patricia L. Chelley-Steeley^*, Weihua Qian

^*Corresponding author for this work

Accounting

Research output: Contribution to journal › Article › peer-review

Abstract

Recent research has suggested that the A and B share markets of China may be informationally segmented. In this paper volatility patterns in the A and B share market are studied to establish whether volatility changes to the A and B share markets are synchronous. A consequence of new information, when investors act upon it is that volatility rises. This means that if the A and B markets are perfectly integrated volatility changes to each market would be expected to occur at the same time. However, if they are segmented there is no reason for volatility changes to occur on the same day. Using the iterative cumulative sum of squares across the different markets. Evidence is found of integration between the two A share markets but not between the A and B markets. © 2005 Taylor & Francis Group Ltd.

Original language	English
Pages (from-to)	791-802
Number of pages	12
Journal	Applied Financial Economics
Volume	15
Issue number	11
DOIs	https://doi.org/10.1080/09603100500118930
Publication status	Published - Jul 2005

Keywords

A and B share markets
China
volatility patterns

Access to Document

10.1080/09603100500118930

Cite this

@article{c5a7ab1d1f404cf8b601e3f594a2ff07,

title = "Testing for market segmentation in the A and B share markets of China",

abstract = "Recent research has suggested that the A and B share markets of China may be informationally segmented. In this paper volatility patterns in the A and B share market are studied to establish whether volatility changes to the A and B share markets are synchronous. A consequence of new information, when investors act upon it is that volatility rises. This means that if the A and B markets are perfectly integrated volatility changes to each market would be expected to occur at the same time. However, if they are segmented there is no reason for volatility changes to occur on the same day. Using the iterative cumulative sum of squares across the different markets. Evidence is found of integration between the two A share markets but not between the A and B markets. {\textcopyright} 2005 Taylor & Francis Group Ltd.",

keywords = "A and B share markets, China, volatility patterns",

author = "Chelley-Steeley, {Patricia L.} and Weihua Qian",

year = "2005",

month = jul,

doi = "10.1080/09603100500118930",

language = "English",

volume = "15",

pages = "791--802",

journal = "Applied Financial Economics",

issn = "0960-3107",

number = "11",

}

TY - JOUR

T1 - Testing for market segmentation in the A and B share markets of China

AU - Chelley-Steeley, Patricia L.

AU - Qian, Weihua

PY - 2005/7

Y1 - 2005/7

N2 - Recent research has suggested that the A and B share markets of China may be informationally segmented. In this paper volatility patterns in the A and B share market are studied to establish whether volatility changes to the A and B share markets are synchronous. A consequence of new information, when investors act upon it is that volatility rises. This means that if the A and B markets are perfectly integrated volatility changes to each market would be expected to occur at the same time. However, if they are segmented there is no reason for volatility changes to occur on the same day. Using the iterative cumulative sum of squares across the different markets. Evidence is found of integration between the two A share markets but not between the A and B markets. © 2005 Taylor & Francis Group Ltd.

AB - Recent research has suggested that the A and B share markets of China may be informationally segmented. In this paper volatility patterns in the A and B share market are studied to establish whether volatility changes to the A and B share markets are synchronous. A consequence of new information, when investors act upon it is that volatility rises. This means that if the A and B markets are perfectly integrated volatility changes to each market would be expected to occur at the same time. However, if they are segmented there is no reason for volatility changes to occur on the same day. Using the iterative cumulative sum of squares across the different markets. Evidence is found of integration between the two A share markets but not between the A and B markets. © 2005 Taylor & Francis Group Ltd.

KW - A and B share markets

KW - China

KW - volatility patterns

UR - http://www.scopus.com/inward/record.url?scp=23044485946&partnerID=8YFLogxK

UR - http://www.informaworld.com/openurl?genre=article&issn=0960-3107&volume=15&issue=11&spage=791

U2 - 10.1080/09603100500118930

DO - 10.1080/09603100500118930

M3 - Article

SN - 0960-3107

VL - 15

SP - 791

EP - 802

JO - Applied Financial Economics

JF - Applied Financial Economics

IS - 11

ER -

Testing for market segmentation in the A and B share markets of China

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this