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Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market

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  • Chui, Andy C W
  • Kwok, Chuck C Y
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    Bibliographic Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 21 (1998)
    Issue (Month): 3 (Fall)
    Pages: 333-53

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    Handle: RePEc:bla:jfnres:v:21:y:1998:i:3:p:333-53

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    Web page: http://www.southwesternfinance.org/
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    Cited by:
    1. John Fernald & John H. Rogers, 1998. "Puzzles in the Chinese stock market," International Finance Discussion Papers 619, Board of Governors of the Federal Reserve System (U.S.).
    2. Robert Brooks & Vanitha Ragunathan, 2003. "Returns and volatility on the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 747-752.
    3. Daxue Wang, 2006. "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006 182, Society for Computational Economics.
    4. Erdinc Altay, 2003. "Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets," Finance 0308005, EconWPA.
    5. Enzo Weber & Yanqun Zhang, 2008. "Common Influences, Spillover and Integration in Chinese Stock Markets," SFB 649 Discussion Papers SFB649DP2008-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Jie Zhu, 2008. "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers 2008-15, School of Economics and Management, University of Aarhus.
    7. Emine Boz, 2006. "Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises," Computing in Economics and Finance 2006 19, Society for Computational Economics.
    8. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
    9. Gary Gang Tian & Guang Hua Wan, 2004. "Interaction among China-related stocks: evidence from a causality test with a new procedure," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 67-72.
    10. Chien-Liang Chiu & Mingchih Lee & Chun-Da Chen, 2005. "Removal of an investment restriction: the 'B' share experience from China's stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 15(4), pages 273-285.
    11. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    12. Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
    13. Ahlgren, Niklas & SjΓΆΓΆ, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
    14. Jason D. Mitchell & Li L. Ong, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 06/04, International Monetary Fund.

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