Testing the integration of the US and Chinese stock markets in a Fama-French framework

Robert Brooks, Amalia Di Iorio, Robert Faff, Yuenan Wang

    Research output: Contribution to journalArticlepeer-review

    Abstract

    This paper explores the integration/segmentation between the US and Chinese stock markets. Our analysis extends the work of Jorion and Schwartz (1986) to a Fama-French framework using both Chinese and US Fama-French factors. Despite the ongoing liberalisation process in China our results support the segmentation hypothesis.
    Original languageEnglish
    Pages (from-to)435-454
    Number of pages20
    JournalJournal of Economic Integration
    Volume24
    Issue number3
    Publication statusPublished - 2009

    Keywords

    • stock exchanges
    • market segmentation
    • China
    • United States

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