메뉴 건너뛰기




Volumn 17, Issue 3, 2007, Pages 277-290

Are the China-related stock markets segmented with both world and regional stock markets?

Author keywords

A, B and H shares; CAPM; Chinese stock market; Hong Kong Stock Market; Market segmentation

Indexed keywords


EID: 34249108886     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2005.12.001     Document Type: Article
Times cited : (44)

References (42)
  • 1
    • 0002675250 scopus 로고
    • Optimal international acquisitions
    • Adler M., and Dumas B. Optimal international acquisitions. Journal of Finance 30 (1975) 1-19
    • (1975) Journal of Finance , vol.30 , pp. 1-19
    • Adler, M.1    Dumas, B.2
  • 2
    • 84944838161 scopus 로고
    • International portfolio choice and corporation finance: a synthesis
    • Adler M., and Dumas B. International portfolio choice and corporation finance: a synthesis. Journal of Finance 38 (1983) 925-984
    • (1983) Journal of Finance , vol.38 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 3
    • 26844553833 scopus 로고    scopus 로고
    • Taking stock in China: company disclosure and information in China's stock markets
    • Anderson M.D. Taking stock in China: company disclosure and information in China's stock markets. Georgetown Law Journal 88 (2002) 1919-1952
    • (2002) Georgetown Law Journal , vol.88 , pp. 1919-1952
    • Anderson, M.D.1
  • 4
    • 0033275358 scopus 로고    scopus 로고
    • Foreign ownership restrictions and equity price premiums: what drives the demand for cross-border
    • Bailey W., and Chung Y.P. Foreign ownership restrictions and equity price premiums: what drives the demand for cross-border. Journal of Financial and Quantitative Analysis 34 (1999) 489-511
    • (1999) Journal of Financial and Quantitative Analysis , vol.34 , pp. 489-511
    • Bailey, W.1    Chung, Y.P.2
  • 5
    • 77957186796 scopus 로고
    • Market integration and investment barriers in emerging equity markets
    • Bekaert G. Market integration and investment barriers in emerging equity markets. World Bank Economic Review 9 (1995) 75-107
    • (1995) World Bank Economic Review , vol.9 , pp. 75-107
    • Bekaert, G.1
  • 6
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert G., and Harvey C.R. Time-varying world market integration. Journal of Finance 50 (1995) 403-444
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.R.2
  • 7
    • 1342346158 scopus 로고
    • International capital market equilibrium with investment barriers
    • Black F. International capital market equilibrium with investment barriers. Journal of Financial Economics 1 (1974) 337-352
    • (1974) Journal of Financial Economics , vol.1 , pp. 337-352
    • Black, F.1
  • 10
    • 0000601205 scopus 로고
    • International arbitrage pricing theory: an empirical investigation
    • Cho D.C., Eun C.S., and Senbet L.W. International arbitrage pricing theory: an empirical investigation. Journal of Finance 41 (1986) 313-329
    • (1986) Journal of Finance , vol.41 , pp. 313-329
    • Cho, D.C.1    Eun, C.S.2    Senbet, L.W.3
  • 11
    • 33749638253 scopus 로고
    • Risk measurement when shares are subject to infrequent trading
    • Dimson E. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics 7 (1979) 197-226
    • (1979) Journal of Financial Economics , vol.7 , pp. 197-226
    • Dimson, E.1
  • 12
    • 84996217226 scopus 로고    scopus 로고
    • Firm size, book-to-market equity and security returns: evidence from the Shanghai Stock Exchange
    • Drew M., Naughton T., and Veeraraghavan M. Firm size, book-to-market equity and security returns: evidence from the Shanghai Stock Exchange. Australia Journal of Management 28 (2003) 119-139
    • (2003) Australia Journal of Management , vol.28 , pp. 119-139
    • Drew, M.1    Naughton, T.2    Veeraraghavan, M.3
  • 13
    • 84944837552 scopus 로고
    • International asset pricing under mild segmentation: theory and test
    • Errunza V., and Losq E. International asset pricing under mild segmentation: theory and test. Journal of Finance 40 (1985) 105-124
    • (1985) Journal of Finance , vol.40 , pp. 105-124
    • Errunza, V.1    Losq, E.2
  • 14
    • 44049111909 scopus 로고
    • Tests of integration, mild segmentation and segmentation hypotheses
    • Errunza V., and Losq E. Tests of integration, mild segmentation and segmentation hypotheses. Journal of Banking and Finance 16 (1992) 949-972
    • (1992) Journal of Banking and Finance , vol.16 , pp. 949-972
    • Errunza, V.1    Losq, E.2
  • 15
    • 84944838909 scopus 로고
    • A model of international asset pricing with a constraint on the foreign equity ownership
    • Eun C.S., and Janakiramanan S. A model of international asset pricing with a constraint on the foreign equity ownership. Journal of Finance 41 (1986) 897-914
    • (1986) Journal of Finance , vol.41 , pp. 897-914
    • Eun, C.S.1    Janakiramanan, S.2
  • 16
    • 51649097563 scopus 로고    scopus 로고
    • Segmentation of the A- and B-share Chinese equity markets
    • Fung H.G., Lee W., and Leung W.K. Segmentation of the A- and B-share Chinese equity markets. Journal of Financial Research 23 (2000) 179-195
    • (2000) Journal of Financial Research , vol.23 , pp. 179-195
    • Fung, H.G.1    Lee, W.2    Leung, W.K.3
  • 17
    • 1242344749 scopus 로고    scopus 로고
    • The dynamic interrelationships between the greater China share markets
    • Groenewold N., Tang S., and Wu Y. The dynamic interrelationships between the greater China share markets. China Economic Review 15 (2004) 45-62
    • (2004) China Economic Review , vol.15 , pp. 45-62
    • Groenewold, N.1    Tang, S.2    Wu, Y.3
  • 18
    • 0000822996 scopus 로고
    • Internationally diversified portfolios: welfare gains and capital flows
    • Grubel H.G. Internationally diversified portfolios: welfare gains and capital flows. American Economic Review 58 (1968) 1299-1314
    • (1968) American Economic Review , vol.58 , pp. 1299-1314
    • Grubel, H.G.1
  • 19
    • 0010720488 scopus 로고
    • Internationalization of the world's securities markets: economic causes and regulatory consequences
    • Grundfest J.A. Internationalization of the world's securities markets: economic causes and regulatory consequences. Journal of Financial Services Research 4 (1990) 349-378
    • (1990) Journal of Financial Services Research , vol.4 , pp. 349-378
    • Grundfest, J.A.1
  • 20
    • 84977703701 scopus 로고
    • Capital controls and international capital market segmentation: the evidence from Japanese and American stock markets
    • Gultekin M., Gultekin B., and Penati A. Capital controls and international capital market segmentation: the evidence from Japanese and American stock markets. Journal of Finance 44 (1989) 849-869
    • (1989) Journal of Finance , vol.44 , pp. 849-869
    • Gultekin, M.1    Gultekin, B.2    Penati, A.3
  • 21
    • 1342307329 scopus 로고    scopus 로고
    • Do birds of the same feather flock together? The case of the Chinese states equity markets
    • Hatemi-J A., and Roca E. Do birds of the same feather flock together? The case of the Chinese states equity markets. International Financial Markets and Institutions and Money 14 (2004) 281-294
    • (2004) International Financial Markets and Institutions and Money , vol.14 , pp. 281-294
    • Hatemi-J, A.1    Roca, E.2
  • 22
    • 84977737479 scopus 로고
    • Asset pricing in a partially segmented market: evidence from the finish market
    • Hietala P.T. Asset pricing in a partially segmented market: evidence from the finish market. Journal of Finance 44 (1989) 697-718
    • (1989) Journal of Finance , vol.44 , pp. 697-718
    • Hietala, P.T.1
  • 23
    • 84944832612 scopus 로고
    • Integration vs. segmentation in the Canadian stock market
    • Jorion P., and Schwartz E. Integration vs. segmentation in the Canadian stock market. Journal of Finance 41 (1986) 603-616
    • (1986) Journal of Finance , vol.41 , pp. 603-616
    • Jorion, P.1    Schwartz, E.2
  • 24
    • 0030191289 scopus 로고    scopus 로고
    • Capital controls, market segmentation and stock prices: evidence from the Chinese stock market
    • Ma X. Capital controls, market segmentation and stock prices: evidence from the Chinese stock market. Pacific-Basin Finance Journal 4 (1996) 219-239
    • (1996) Pacific-Basin Finance Journal , vol.4 , pp. 219-239
    • Ma, X.1
  • 25
    • 0002009499 scopus 로고
    • Foreign exchange restrictions and the law of one price
    • Maldonado R., and Saunders A. Foreign exchange restrictions and the law of one price. Financial Management 12 (1983) 19-23
    • (1983) Financial Management , vol.12 , pp. 19-23
    • Maldonado, R.1    Saunders, A.2
  • 26
    • 1842431280 scopus 로고
    • French mutual fund performance: an evaluation of internationally diversified portfolios
    • McDondald J.G. French mutual fund performance: an evaluation of internationally diversified portfolios. Journal of Finance 28 (1973) 1161-1180
    • (1973) Journal of Finance , vol.28 , pp. 1161-1180
    • McDondald, J.G.1
  • 27
    • 84993915044 scopus 로고
    • Additional evidence on integration in the Canadian stock market
    • Mittoo U.R. Additional evidence on integration in the Canadian stock market. Journal of Finance 47 (1992) 2035-2054
    • (1992) Journal of Finance , vol.47 , pp. 2035-2054
    • Mittoo, U.R.1
  • 28
    • 34249080202 scopus 로고    scopus 로고
    • Internationalisation of securities market after China's WTO accession
    • Pei C., and Qiu W. Internationalisation of securities market after China's WTO accession. China and World Economy 4 (2002) 24-27
    • (2002) China and World Economy , vol.4 , pp. 24-27
    • Pei, C.1    Qiu, W.2
  • 29
    • 0035584627 scopus 로고    scopus 로고
    • A time-varying parameter model to test for predictability and integration in the stock markets of transition economies
    • Rockinger M., and Urga G. A time-varying parameter model to test for predictability and integration in the stock markets of transition economies. Journal of Business and Economic Statistics 19 (2001) 73-84
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 73-84
    • Rockinger, M.1    Urga, G.2
  • 30
  • 31
    • 0034370043 scopus 로고    scopus 로고
    • Market segmentation and information diffusion in China's stock markets
    • Sjöö B., and Zhang J. Market segmentation and information diffusion in China's stock markets. Journal of Multinational Financial Management 10 (2000) 421-438
    • (2000) Journal of Multinational Financial Management , vol.10 , pp. 421-438
    • Sjöö, B.1    Zhang, J.2
  • 33
    • 0000732977 scopus 로고
    • Testing international asset pricing models: some pessimistic views
    • Solnik B.H. Testing international asset pricing models: some pessimistic views. Journal of Finance 32 (1977) 503-512
    • (1977) Journal of Finance , vol.32 , pp. 503-512
    • Solnik, B.H.1
  • 34
    • 0000910887 scopus 로고
    • Market imperfections, capital market equilibrium and corporation finance
    • Stapleton R.C., and Subrahmanyam M.G. Market imperfections, capital market equilibrium and corporation finance. Journal of Finance 32 (1977) 307-319
    • (1977) Journal of Finance , vol.32 , pp. 307-319
    • Stapleton, R.C.1    Subrahmanyam, M.G.2
  • 35
    • 0001390304 scopus 로고
    • An empirical test of the alternative hypotheses of national and international pricing of risky assets
    • Stehle R. An empirical test of the alternative hypotheses of national and international pricing of risky assets. Journal of Finance 32 (1977) 493-502
    • (1977) Journal of Finance , vol.32 , pp. 493-502
    • Stehle, R.1
  • 36
    • 34249011954 scopus 로고
    • A model of international asset pricing
    • Stulz R. A model of international asset pricing. Journal of Financial Economics 9 (1981) 358-383
    • (1981) Journal of Financial Economics , vol.9 , pp. 358-383
    • Stulz, R.1
  • 37
    • 85007677996 scopus 로고    scopus 로고
    • Ownership restrictions and stock prices: evidence from Chinese markets
    • Su D. Ownership restrictions and stock prices: evidence from Chinese markets. Financial Review 34 (1999) 37-55
    • (1999) Financial Review , vol.34 , pp. 37-55
    • Su, D.1
  • 38
    • 34249000260 scopus 로고    scopus 로고
    • Sources of capital market segmentation: empirical evidence from Finland
    • Vaihekoski M., and Nummelin K. Sources of capital market segmentation: empirical evidence from Finland. Financial Review 37 (2001) 139-160
    • (2001) Financial Review , vol.37 , pp. 139-160
    • Vaihekoski, M.1    Nummelin, K.2
  • 39
    • 2342461120 scopus 로고    scopus 로고
    • Location of trade, ownership restrictions, and market illiquidity: examining Chinese A- and H-shares
    • Wang S.S., and Jiang L. Location of trade, ownership restrictions, and market illiquidity: examining Chinese A- and H-shares. Journal of Banking and Finance 28 (2004) 1273-1297
    • (2004) Journal of Banking and Finance , vol.28 , pp. 1273-1297
    • Wang, S.S.1    Jiang, L.2
  • 40
    • 0042913394 scopus 로고    scopus 로고
    • The interaction and volatility asymmetry of unexpected returns in the greater China stock markets
    • Yeh Y.H., and Lee T.S. The interaction and volatility asymmetry of unexpected returns in the greater China stock markets. Global Finance Journal 11 (2000) 129-149
    • (2000) Global Finance Journal , vol.11 , pp. 129-149
    • Yeh, Y.H.1    Lee, T.S.2
  • 41
    • 0345861778 scopus 로고    scopus 로고
    • The PRC qualified foreign institutional investors market
    • Yeo S. The PRC qualified foreign institutional investors market. China Economic Review 14 (2003) 443-450
    • (2003) China Economic Review , vol.14 , pp. 443-450
    • Yeo, S.1
  • 42
    • 0142259724 scopus 로고    scopus 로고
    • Risk under "One Country and Two Systems": evidence from class A, B and H shares of Chinese listed companies
    • Zhang Y., and Zhao R. Risk under "One Country and Two Systems": evidence from class A, B and H shares of Chinese listed companies. Review of Pacific Basin Financial Markets and Policies 6 (2003) 179-197
    • (2003) Review of Pacific Basin Financial Markets and Policies , vol.6 , pp. 179-197
    • Zhang, Y.1    Zhao, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.