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Chapter 5 The impact of the opening up of the B-share markets on the integration of Chinese stock markets

Asia-Pacific Financial Markets: Integration, Innovation and Challenges

ISBN: 978-0-7623-1471-3, eISBN: 978-1-84950-514-7

Publication date: 12 December 2007

Abstract

The opening up of B-share markets to domestic investors in 2001 is a landmark event in the development of the Chinese stock markets. This chapter aims to assess the possible changes in the market mechanism associated with this important event. A VECM-DCC-MVGARCH model is employed to investigate the market integration process in Chinese stock markets around the opening up of the B-share market to domestic investors. Our empirical results reveal that the Chinese stock markets were segmented before the opening up whereas they were integrated to some extent in the long-run after the opening up of B-share markets. Moreover, it is also found that A-share markets played a dominant role on the information flows between A-share and B-share markets; the short-run information flows between A-share and B-share markets were more rapid after the opening up of B-share markets.

Citation

Chen, L., Li, S. and Lin, W. (2007), "Chapter 5 The impact of the opening up of the B-share markets on the integration of Chinese stock markets", Kim, S.-J. and Mckenzie, M.D. (Ed.) Asia-Pacific Financial Markets: Integration, Innovation and Challenges (International Finance Review, Vol. 8), Emerald Group Publishing Limited, Leeds, pp. 95-116. https://doi.org/10.1016/S1569-3767(07)00005-2

Publisher

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Emerald Group Publishing Limited

Copyright © 2007, Emerald Group Publishing Limited