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

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Title:	Removal of an investment restriction: the "B" share experience from China's stock markets
Authors:	Chiu, Chien-liang;Lee, Ming-chih;Chen, Chun-da
Contributors:	淡江大學財務金融學系
Date:	2005-02-01
Issue Date:	2009-08-26 15:36:49 (UTC+8)
Publisher:	Taylor & Francis
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.
Relation:	Applied Financial Economics 15(4), pp.273-285
DOI:	10.1080/0960310042000314232
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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