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Does B-Sharefs Opening Influence the Efficiency of Chinese Stock Market? An Application of Asymmetric Threshold Cointegration

Journal of Financial Studies

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Title Does B-Sharefs Opening Influence the Efficiency of Chinese Stock Market? An Application of Asymmetric Threshold Cointegration
 
Creator Chung-Hua Shen
Chien-Fu Chen
 
Description This paper uses the Enders and Siklos (2001) asymmetric threshold cointegration test to examine the long run asymmetric equilibrium relationships among Chinese Shanghai and Shenzhen stock markets. We investigate the impact of B share opening on the cointegrated relationship among Chinese stock markets. The estimated results are as follows. First, using conventional Engle-Granger symmetric cointegration test, the B-shares's openning does not reinforce the co-movement among Chinese stock markets. Second, using Enders-Siklos asymmetric threhold cointegration test indicate the B-shares's opening induces the cointegration among Chinese stock marekts. Third, using Granger causality test, Shenzhen A share stock prices lead Shanghai A share stock prices and there is a bidirectional feedback relationship between the B shares prices in Shanghai and Shenzhen stock market before B shares were open. Finally, we find that B share prices lead A share prices in Shanghai stock market and A share prices lead B share prices in Shenzhen stock market after B shares were open. Therefore, investors in Chinese stock markets can not diversity the portfolio risks buying A- and Bshares stocks.

Key words: Asymmetric Threshold Cointegration, Asymmetric Threshold Error Correction Model, Chinese Stock Markets
 
Publisher Journal of Financial Studies
財務金èžå­¸åˆŠ
 
Date 2011-06-10
 
Type
 
Format application/pdf
 
Identifier http://www.jfs.org.tw/index.php/jfs/article/view/2011149
 
Source Journal of Financial Studies; Vol 11, No 3 (2003); 89
財務金èžå­¸åˆŠ; Vol 11, No 3 (2003); 89
 
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