2017
DOI: 10.5430/ijfr.v8n2p105
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Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Abstract: This paper was intended to examine factors influencing the correlations between A-and B-shares of individual firms, and explore the effects of Qualified Foreign Institutional Investor's (QFII) implementation on correlations. The empirical results show that interest rate differential, relative turnover rate, relative return volatility, and market sentiment had impacts on correlation both before and after the QFII's implementation. After its implementation, correlations became more sensitive to premium, relative… Show more

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