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 |
|---|---|
| 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