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- W2362552301 abstract "If securities issued by the same company are traded in various markets,the price discovery efficiency of these markets may be different.In this paper,the common factor contribution methodology,proposed by Gonzalo and Granger(1995),and information share model proposed by Hasbrouck(1995) are adopted to analyze the contribution of A and B shares to the price discovery,respectively.The empirical evidence indicates that before the B-share market is opened to domestic investors,the two markets are seriously segmented.After the B-share market is opened to domestic investors,the degree to which these two markets are segmented decreases.Before the openness of B-share market,according to common factor contribution methodology,A-share market contributes more to the price discovery in both SSE and SZE.And we find the similar results through the information share model.After the openness of B-share market,both methodologies find that A-share market is still in informational dominance.Furthermore,both common factor contribution methodology and information share model obtain the same conclusion about dynamic variation of the contribution of A-share(B-share) to the price discovery:the common factor weight and information share attributed to A-share market decrease with the openness of B-share market." @default.
- W2362552301 created "2016-06-24" @default.
- W2362552301 creator A5077949115 @default.
- W2362552301 date "2008-01-01" @default.
- W2362552301 modified "2023-09-26" @default.
- W2362552301 title "Empirical study on the price discovery of A and B shares in China" @default.
- W2362552301 hasPublicationYear "2008" @default.
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