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China A-share And B-share Market Segmentation Empirical Research

Posted on:2002-08-23Degree:DoctorType:Dissertation
Country:ChinaCandidate:G D ZouFull Text:PDF
Abstract/Summary:PDF Full Text Request
A study in stock market segmentation-integration issue investigates whether stocks in different security markets follow the same asset-pricing model. If they follow the same valuation model, these two or more markets are integrated. If not, segmented. The same valuation is defined as a situation where investors earn the same risk-adjusted expected return on similar financial instruments in different security markets. Scholars observe the market integration vs. segmentation issue from two approaches. First of all, they have reviewed if the valuation model of domestic securities and that of world securities are the same by examining the relations of the return on the domestic stocks and the return on the world market portfolio that eliminated domestic market portfolio. Secondly, they investigate whether stocks follow the same asset-pricing model in different markets by examining whether the prices of different series shares are the same.This study intends to discuss the integration-segmentation issue in China's stock market by reviewing whether stocks of B shares and total market follow the same valuation model in Shanghai and Shenzhen stocks exchanges via an empirical study. The results show share A and share B markets are mildly segmented. Finally the determinants of the price differences of dually listed firms are discussed.
Keywords/Search Tags:Market Segmentation, Market Integration, Empirical Study
PDF Full Text Request
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