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

Brooks, Robert, Di Iorio, Amalia, Faff, Robert and Wang, Yuenan (2009) Testing the integration of the US and Chinese stock markets in a Fama-Frenchy framework. Journal of Economic Integration, 24 3: 435-454.

Author Brooks, Robert
Di Iorio, Amalia
Faff, Robert
Wang, Yuenan
Title Testing the integration of the US and Chinese stock markets in a Fama-Frenchy framework
Journal name Journal of Economic Integration   Check publisher's open access policy
ISSN 1225-651X
1976-5525
Publication date 2009-09
Sub-type Article (original research)
Volume 24
Issue 3
Start page 435
End page 454
Total pages 10
Place of publication Seoul, Republic of Korea
Publisher Sejong University * Center for International Economics
Language eng
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.
Keyword Market segmentation
French-Fama
Chinese stock market
GMM
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Thu, 03 Mar 2011, 14:36:37 EST by Karen Morgan on behalf of UQ Business School