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Time-varying Informational Efficiency in China's A-Share and B-Share Markets

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  • Xiao-Ming Li

Abstract

This paper employs a time-varying framework to examine the informational efficiency of China's A-share and B-share markets, with a focus placed on the following issues: changing weak-form efficiency, the leverage effect, and information transmission in return volatility. We find that the A-share markets perform better than the B-share markets in terms of efficiency-improving; significant leverage effects exist in three of four markets but with different signs; and no weak and strong volatility transmissions characterise different pairs of markets. Market segmentation is also documented, as evidenced by no co-movements in the long-run behaviour of the four Chinese share markets.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/1476528032000039730
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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Journal of Chinese Economic and Business Studies.

Volume (Year): 1 (2003)
Issue (Month): 1 ()
Pages: 33-56

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Handle: RePEc:taf:jocebs:v:1:y:2003:i:1:p:33-56

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Related research

Keywords: A Shares; B Shares; Weak-form Efficiency; Return Volatility; China;

References

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  1. Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
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  7. Zalewska-Mitura, Anna & Hall, Stephen G., 1999. "Examining the first stages of market performance: a test for evolving market efficiency," Economics Letters, Elsevier, vol. 64(1), pages 1-12, July.
  8. Yao, Chengxi, 1998. "Stock Market and Futures Market in the People's Republic of China," OUP Catalogue, Oxford University Press, number 9780195907254, September.
  9. 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.
  10. Bergstrom, Clas & Tang, Ellen, 2001. "Price differentials between different classes of stocks: an empirical study on Chinese stock markets," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 407-426, December.
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Cited by:
  1. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
  2. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.

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