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Lookup NU author(s): Professor Bartosz GebkaORCiD
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Do Tigers Care about Dragons? Spillovers in returns and volatility between Chinese stock markets. Abstract: We investigate the causality in returns and volatility between Chinese class A and B stocks traded in Shanghai and Shenzhen. The results show that the informational efficiency of Chinese stock markets has been improving over time and was more pronounced for class A stocks and those traded in Shanghai. The financial system reform of 2001 resulted in further improvement in efficiency, especially of thinly traded class B stocks. Differences in speed of price adjustment to news are shown to generate predictable patterns in returns but not in volatility, and lessons for investors and policy makers are discussed.
Author(s): Gebka B
Editor(s): Gregoriou, GN
Publication type: Book Chapter
Publication status: Published
Book Title: Stock Market Volatility
Year: 2009
Pages: 457-482
Edition: 1st
Series Title: Chapman & Hall/CRC Finance Series
Publisher: Chapman & Hall
Place Published: London, UK
Library holdings: Search Newcastle University Library for this item
ISBN: 9781420099546
