Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework
AbstractThis paper explores the integration/segmentation between the US and Chinese stock markets. Our analysis extends the work of Jorion and Schwartz (1986) to a Fama-French framework using both Chinese and US Fama-French factors. Despite the ongoing liberalisation process in China our results support the segmentation hypothesis.
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Bibliographic InfoArticle provided by Center for Economic Integration, Sejong University in its journal Journal of Economic Integration.
Volume (Year): 24 (2009)
Issue (Month): ()
market segmentation; French-Fama; Chinese stock market; GMM;
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