Time-varying Informational Efficiency in China's A-Share and B-Share Markets

Xiao-Ming Li

Journal of Chinese Economic and Business Studies, 2003, vol. 1, issue 1, 33-56

Abstract: This paper employs a time-varying framework to examine the informational efficiency of China's A-share and B-share markets, with a focus placed on the following issues: changing weak-form efficiency, the leverage effect, and information transmission in return volatility. We find that the A-share markets perform better than the B-share markets in terms of efficiency-improving; significant leverage effects exist in three of four markets but with different signs; and no weak and strong volatility transmissions characterise different pairs of markets. Market segmentation is also documented, as evidenced by no co-movements in the long-run behaviour of the four Chinese share markets.

Keywords: A Shares; B Shares; Weak-form Efficiency; Return Volatility; China (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/1476528032000039730

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