Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle

Tsangyao Chang and Yang-Cheng Lu (yclu@mcu.edu.tw)
Additional contact information
Yang-Cheng Lu: Department of Finance, Ming Chuan University, Taipei. Taiwan

Economics Bulletin, 2006, vol. 7, issue 4, 1-7

Abstract: This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and B-share stock price indexes, using five cointegration tests, namely PO, HI, JJ, KSS, and BN approaches. The results from these five tests are robust and consistent in suggesting that these two Chinese share markets are not pairwise cointegrated with each other. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in these two Chinese share markets.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2006-04-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2006/Volume7/EB-06G10002A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-06g10002

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley (j.p.conley@vanderbilt.edu).