IDEAS home Printed from https://ideas.repec.org/a/bla/finrev/v38y2003i4p591-609.html
   My bibliography  Save this article

Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis

Author

Listed:
  • Jian Yang

Abstract

This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data-determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B-share market are better informed than Chinese domestic investors in two A-share markets and foreign investors in Shenzhen and Hong Kong markets over time. The finding challenges a widespread assumption of less informed foreign investors in the literature, but suggests that foreign investors could be more informed in emerging markets. Copyright 2003 by the Eastern Finance Association.

Suggested Citation

  • 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.
  • Handle: RePEc:bla:finrev:v:38:y:2003:i:4:p:591-609
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=fire&volume=38&issue=4&year=2003&part=null
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
    2. Gilley, Otis W. & Leone, Robert P., 1991. "A two-stage imputation procedure for item nonresponse in surveys," Journal of Business Research, Elsevier, pages 281-291.
    3. Boldin, Robert J. & Leggett, Keith & Strand, Robert, 1998. "Credit union industry structure: an examination of potential risks," Financial Services Review, Elsevier, pages 207-215.
    4. Karels, Gordon V. & McClatchey, Christine A., 1999. "Deposit insurance and risk-taking behavior in the credit union industry," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 105-134, January.
    5. Fried, Harold O. & Knox Lovell, C. A. & Eeckaut, Philippe Vanden, 1993. "Evaluating the performance of US credit unions," Journal of Banking & Finance, Elsevier, vol. 17(2-3), pages 251-265, April.
    6. Aruna Srinivasan & B. Frank King, 1998. "Credit union issues," Economic Review, Federal Reserve Bank of Atlanta, pages 32-41.
    7. Keith Leggett & Yvonne Stewart, 1999. "Multiple common bond credit unions and the allocation of benefits," Journal of Economics and Finance, Springer;Academy of Economics and Finance, pages 235-245.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:38:y:2003:i:4:p:591-609. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/efaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.