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
- 세종대학교 경제통합연구소
- Journal of Economic Integration
- 제24권 제3호
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2009.09435 - 454 (20 pages)
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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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