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 language | English |
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Pages (from-to) | 435-454 |
Number of pages | 20 |
Journal | Journal of Economic Integration |
Volume | 24 |
Issue number | 3 |
Publication status | Published - 2009 |
Keywords
- stock exchanges
- market segmentation
- China
- United States