Market liberalization within a country

Sun, Qiang; Tong, Wei; Yan, Yuxing

doi:10.1016/j.jempfin.2008.07.003

Cited by 38 publications

(20 citation statements)

References 46 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…There are large amounts of empirical studies concerning the impact of opening the B-share market to nationals on February 19, 2001. Sun, Tong, & Yan (2009 found the B-share market quality to be improved -and not at the expense of the other domestic markets -subsequent to liberalization.…”

Section: Market Liberalization In Chinamentioning

confidence: 99%

Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Hsiao¹,

Tu²,

Chen³

2017

IJFR

View full text Add to dashboard Cite

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 turnover rate and market sentiment. Furthermore, the estimated constant term for overall market correlation became more negative (raw values from -0.3413 to -0.8815), indicating an increasing correlation between A-and B-shares' returns. The policy implications are that much benefit of diversification into emerging markets such as paired A-and B-shares can be accomplished, together with taking several influential factors into account.

show abstract

Section: Market Liberalization In Chinamentioning

confidence: 99%

Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Hsiao¹,

Tu²,

Chen³

2017

IJFR

View full text Add to dashboard Cite

show abstract

“…The B-share market reform has been generally found to strengthen the correlation and cointegration relationship between A-and B-share markets (Sun, Tong, & Yan, 2009;Chen, Buckland, & Williams, 2011). Meanwhile, other studies examine the interdependence between China's and other regional markets.…”

Section: Literature On Financial Market Interdependencementioning

confidence: 99%

“…As shown by a steep rise in B-share trading volume, for example, a huge inflow of domestic capital rushed into the B-share market (Bohl, Schuppli, & Siklos, 2010 (Sun, Tong, & Yan, 2009). After the removal of ownership restriction the average increase in B-share prices was 158.6% while that of Ashare only 2.2% (Darrat, Gilley, Wu, & Zhong, 2010).…”

Section: Non-and Normalized Indexes Of Market Interdependencementioning

confidence: 99%

“…As various measures were found to be ineffective, the Chinese government opened the B-share market to domestic individual investors to vitalize this market. Secondly, arbitrage across A-and B-share markets could not take place in any real sense since short selling was prohibited in China, and the RMB was not freely convertible (Sun, Tong, & Yan, 2009). …”

Section: Non-and Normalized Indexes Of Market Interdependencementioning

confidence: 99%

“…As noted by Wu (2011) of the firm's total equity capital. Similarly, foreign shareholders reduced their holding in the China International Marine Containers (Group) Co., the Wuxi Little Swan Co., the Guangdong Provincial Expressway Development Co., and so on (Sun, Tong, & Yan, 2009). …”

Section: Non-and Normalized Indexes Of Market Interdependencementioning

confidence: 99%

See 2 more Smart Citations

Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period

Chen

Yao

et al. 2014

Journal of International Financial Markets, Institutions and Mo

View full text Add to dashboard Cite

This paper studies China's stock market with respect to financial liberalization and international market interdependence after its accession to the WTO in 2001. Using the multifactor R-squared measure, we derive a normalized index to measure the impact of financial liberalization policies on stock market interdependence between China and the world. Some of China's financial liberalization measures, such as QFII and exchange rate reform, are found to have played an important role in increasing market interdependence. After the US credit crunch in 2007 and the world financial crisis in the following years, some anomalies were observed as China's stock market was more interdependent of the global market than the US stock market in some specific periods. These anomalies may have been related to the former's overreaction and economic overheating.JEL: C22, C38, F36, G15, G18

show abstract

A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?

Xiong,

2023

Journal of Futures Markets

View full text Add to dashboard Cite

Leveraging tick‐by‐tick data, this study provides the first analysis of Shanghai International Energy Exchange (INE) bonded copper futures' performance in market quality and price discovery. In particular, we investigate the effects of the market opening (listing of INE bonded copper futures) on Shanghai Futures Exchange (SHFE) copper futures' market quality and price discovery. Our results show that the market quality and price discovery of INE bonded copper futures in the first year of the listing is not promising. Our synthetic control method results suggest that market openness does not significantly reduce SHFE copper futures' market quality in terms of activity, liquidity, and volatility. Moreover, market openness does not significantly reduce the SHFE copper futures' price discovery effectiveness. Overall, the performance of new INE bonded copper futures needs improvement, while its listing did not disrupt SHFE copper futures. Our results suggest that a dual‐contract mode is an alternative option for internationalization in China's commodity futures markets.

show abstract

Market liberalization within a country

Cited by 38 publications

References 46 publications

Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation

Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period

A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?

Contact Info

Product

Resources

About