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SCOPUS 학술저널

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

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

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.

Ⅰ. Introduction

Ⅱ. Data Description and Methodology

Ⅲ. Empirical Results

Ⅳ. Conclusion.

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