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

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  • Patricia Chelley-Steeley
  • Weihua Qian

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.

Suggested Citation

  • Patricia Chelley-Steeley & Weihua Qian, 2005. "Testing for market segmentation in the A and B share markets of China," Applied Financial Economics, Taylor & Francis Journals, vol. 15(11), pages 791-802.
    • Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:791-802
    DOI: 10.1080/09603100500118930
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    References listed on IDEAS

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    Cited by:

    1. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
    2. Niklas Ahlgren & Bo Sjo & Jianhua Zhang, 2009. "Panel cointegration of Chinese A and B shares," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1859-1871.

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