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

Autor:	Patricia L. Chelley-Steeley, Weihua Qian
Rok vydání:	2005
Předmět:	Economics and Econometrics Market segmentation Financial economics Volatility swap Market share analysis Economics Volatility smile Implied volatility Volatility (finance) Volatility risk premium A share Finance
Zdroj:	Applied Financial Economics. 15:791-802
ISSN:	1466-4305 0960-3107
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::41487e57403dbf7ed48d13b60317c33f https://doi.org/10.1080/09603100500118930 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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