Removal of an investment restriction: the 'B' share experience from China's stock markets

Chien-Liang Chiu, Mingchih Lee and Chun-Da Chen

Applied Financial Economics, 2005, vol. 15, issue 4, 273-285

Abstract: This paper investigates the impact of CSRC allowing domestic residents to invest in the B-share stock market. An ARJI model is used to analyse the jump dynamics process during the pre- and post-event periods and impulse response functions are employed to demonstrate the volatility transmissions between the A- and B-share markets. Results indicate that the jump intensity and the jump frequency of Shanghai and Shenzhen stock markets increases. Moreover, the volatility transmissions between A- and B-share markets accelerates. It is therefore concluded that the CSRC, by permitting domestic residents to invest in B shares, will impact the A- and B-share stock markets.

Date: 2005
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DOI: 10.1080/0960310042000314232

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