English, Article edition: Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency Changjiang Lu; Kemin Wang; Haiwei Chen; ...

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency
Author
  • Changjiang Lu
  • Kemin Wang
  • Haiwei Chen
  • James Chong
Physical Description
  • article
Notes
  • We investigate the effectiveness of two recent regulatory policy changes on market efficiency in the Chinese A- and B-share markets. Overall, the opening of the B-share market to domestic Chinese investors and the limited opening of the A-share market to foreign investors increase market efficiency. The opening of the B-share market significantly reduces the price differential between A- and B-shares. Furthermore, there is no longer feedback in returns between the two markets in recent years. Our results provide evidence that there is no detrimental effect to market efficiency by integrating Chinese investors to international markets and foreign investors to the Chinese stock markets.
  • China B-shares, market efficiency, GARCH, market integration
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:03:p:309-328
Language
  • English
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