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

  • Xiao-Ming Li

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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Article provided by Taylor & 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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