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| Titel: |
Time-varying Informational Efficiency in China's A-Share and B-Share Markets |
| Auteur: |
Li, Xiao-Ming |
| Verschenen in: |
Journal of Chinese economic and business studies |
| Paginering: | Jaargang 1 (2003) nr. 1 pagina's 33-56 |
| Jaar: |
2003-01 |
| Inhoud: |
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. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
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