Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework

Amalia Di Iorio ()
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Amalia Di Iorio: RMIT University, Postal: Department of Econometrics and Business Statistics, Monash University

Journal of Economic Integration, 2009, vol. 24, 435-454

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.

Keywords: market segmentation; French-Fama; Chinese stock market; GMM (search for similar items in EconPapers)
JEL-codes: C32 G12 G15 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0481

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