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Time-varying Informational Efficiency in China's A-Share and B-Share Markets

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  • Xiao-Ming Li

Abstract

This paper employs a time-varying framework to examine the informational efficiency of China's A-share and B-share markets, with a focus placed on the following issues: changing weak-form efficiency, the leverage effect, and information transmission in return volatility. We find that the A-share markets perform better than the B-share markets in terms of efficiency-improving; significant leverage effects exist in three of four markets but with different signs; and no weak and strong volatility transmissions characterise different pairs of markets. Market segmentation is also documented, as evidenced by no co-movements in the long-run behaviour of the four Chinese share markets.

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  • Xiao-Ming Li, 2003. "Time-varying Informational Efficiency in China's A-Share and B-Share Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 33-56.
    • Handle: RePEc:taf:jocebs:v:1:y:2003:i:1:p:33-56
    DOI: 10.1080/1476528032000039730
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    Cited by:

    1. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
    2. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    3. Xiangmei Fan & Yanrui Wu & Nicolaas Groenewold, 2003. "The Stock Return-volume Relation and Policy Effects: The Case of the Chinese Energy Sector," Economics Discussion / Working Papers 03-15, The University of Western Australia, Department of Economics.
    4. Zhang, Bing & Li, Xiao-Ming & He, Fei, 2014. "Testing the evolution of crude oil market efficiency: Data have the conn," Energy Policy, Elsevier, vol. 68(C), pages 39-52.

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