Removal of an investment restriction: the 'B' share experience from China's stock markets
AbstractThis paper investigates the impact of CSRC allowing domestic residents to invest in the B-share stock market. An ARJI model is used to analyse the jump dynamics process during the pre- and post-event periods and impulse response functions are employed to demonstrate the volatility transmissions between the A- and B-share markets. Results indicate that the jump intensity and the jump frequency of Shanghai and Shenzhen stock markets increases. Moreover, the volatility transmissions between A- and B-share markets accelerates. It is therefore concluded that the CSRC, by permitting domestic residents to invest in B shares, will impact the A- and B-share stock markets.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 15 (2005)
Issue (Month): 4 ()
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