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Information flows within and across sectors in Chinese stock markets

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  • Wang, Zijun
  • Kutan, Ali M.
  • Yang, Jian

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File URL: http://www.sciencedirect.com/science/article/B6W5X-49TRT5P-1/2/559c60257080110b4a0ce375ed54f374
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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 45 (2005)
Issue (Month): 4-5 (September)
Pages: 767-780

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Handle: RePEc:eee:quaeco:v:45:y:2005:i:4-5:p:767-780

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Web page: http://www.elsevier.com/locate/inca/620167

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References

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  1. Bradley Ewing & Shawn Forbes & James Payne, 2003. "The effects of macroeconomic shocks on sector-specific returns," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 201-207.
  2. John Fernald & John H. Rogers, 2002. "Puzzles In The Chinese Stock Market," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 416-432, August.
  3. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  4. Jian Yang, 2003. "Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis," The Financial Review, Eastern Finance Association, vol. 38(4), pages 591-609, November.
  5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  6. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
  7. Chakravarty, Sugato & Sarkar, Asani & Wu, Lifan, 1998. "Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 325-356, December.
  8. Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1998. "Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 307-319, August.
  9. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  10. Hu, John Wei-Shan & Chen, Mei-Yuan & Fok, Robert C. W. & Huang, Bwo-Nung, 1997. "Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 351-367, December.
  11. Su, Dongwei & Fleisher, Belton M., 1999. "Why does return volatility differ in Chinese stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 557-586, December.
  12. Haiyan Song & Xiaming Liu & Peter Romilly, 1998. "Stock Returns and Volatility: an empirical study of Chinese stock markets," International Review of Applied Economics, Taylor & Francis Journals, vol. 12(1), pages 129-139.
  13. Sun, Qian & Tong, Wilson H. S., 2000. "The effect of market segmentation on stock prices: The China syndrome," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1875-1902, December.
  14. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May.
  15. Chui, Andy C W & Kwok, Chuck C Y, 1998. "Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 21(3), pages 333-53, Fall.
  16. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  17. Long, D Michael & Payne, Janet D & Feng, Chenyang, 1999. "Information Transmission in the Shanghai Equity Market," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 22(1), pages 29-45, Spring.
  18. Poon, Winnie P. H. & Fung, Hung-Gay, 2000. "Red chips or H shares: which China-backed securities process information the fastest?," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 315-343, December.
  19. Fung, Hung-Gay & Lee, Wai & Leung, Wai Kin, 2000. "Segmentation of the A- and B-Share Chinese Equity Markets," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 23(2), pages 179-95, Summer.
  20. Bradley Ewing, 2002. "The transmission of shocks among S&P indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 285-290.
  21. Jian Yang & Insik Min & Qi Li, 2003. "European Stock Market Integration: Does EMU Matter?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9-10), pages 1253-1276.
  22. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  23. Abdullah, Dewan A & Rangazas, Peter C, 1988. "Money and the Business Cycle: Another Look," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 680-85, November.
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Citations

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Cited by:
  1. Ahlgren, Niklas & Sjö, Bo & Zhang, Jianhua, 2008. "Panel Cointegration of Chinese A and B Shares," Working Papers in Economics 300, University of Gothenburg, Department of Economics.
  2. Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.
  3. Elyasiani, Elyas & Kocagil, Ahmet E. & Mansur, Iqbal, 2007. "Information transmission and spillover in currency markets: A generalized variance decomposition analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 312-330, May.
  4. Ahmed, Walid M.A., 2011. "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper 28127, University Library of Munich, Germany.
  5. Senderski, Marcin, 2011. "Justifiable Thrift or Feverish Animal Spirits: What Stirred the Corporate Credit Crunch in Poland?," MPRA Paper 43674, University Library of Munich, Germany.
  6. Yao, Juan & Ma, Chuanchan & He, William Peng, 2014. "Investor herding behaviour of Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 12-29.

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