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Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle

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Author Info
Tsangyao Chang () (Department of Finance, Feng Chia University, Taichung, Taiwan)
Yang-Cheng Lu () (Department of Finance, Ming Chuan University, Taipei. Taiwan)
Abstract

This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and B-share stock price indexes, using five cointegration tests, namely PO, HI, JJ, KSS, and BN approaches. The results from these five tests are robust and consistent in suggesting that these two Chinese share markets are not pairwise cointegrated with each other. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in these two Chinese share markets.

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File URL: http://economicsbulletin.vanderbilt.edu/2006/volume7/EB-06G10002A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 7 (2006)
Issue (Month): 4 ()
Pages: 1-7
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:7:y:2006:i:4:p:1-7

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Related research
Keywords: Chinese Share Markets; Cointegration tests; Equity Diversification; Nonlinear;

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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