Market segmentation and information diffusion in China's stock markets

by: Boo Sjoo, Jianhua Zhang

Journal of Multinational Financial Management, Vol. 10, No. 3-4. (December 2000), pp. 421-438.

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Abstract

This study analyses the information diffusion between Chinese A shares (restricted to domestic investors) and B shares (restricted to foreign investors). The results show that there is an important long-run information diffusion between A and B shares. In the Shanghai stock market, information flows from foreign to domestic investors. However, in the smaller and less liquid Shenzhen stock market, the information diffusion goes in the opposite way. The direction of the information diffusion is determined by the choice of stock exchange rather than firm size.

@article{citeulike:1103602, abstract = {This study analyses the information diffusion between Chinese A shares (restricted to domestic investors) and B shares (restricted to foreign investors). The results show that there is an important long-run information diffusion between A and B shares. In the Shanghai stock market, information flows from foreign to domestic investors. However, in the smaller and less liquid Shenzhen stock market, the information diffusion goes in the opposite way. The direction of the information diffusion is determined by the choice of stock exchange rather than firm size.}, author = {Sjoo, Boo and Zhang, Jianhua }, citeulike-article-id = {1103602}, doi = {10.1016/S1042-444X(00)00035-9}, journal = {Journal of Multinational Financial Management}, keywords = {diffuse}, month = {December}, number = {3-4}, pages = {421--438}, posted-at = {2007-02-12 18:31:40}, priority = {3}, title = {Market segmentation and information diffusion in China's stock markets}, url = {http://dx.doi.org/10.1016/S1042-444X(00)00035-9}, volume = {10}, year = {2000} }

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TY - JOUR ID - citeulike:1103602 L3 - citeulike-article-id:1103602 TI - Market segmentation and information diffusion in China's stock markets JF - Journal of Multinational Financial Management VL - 10 IS - 3-4 SP - 421 EP - 438 N2 - This study analyses the information diffusion between Chinese A shares (restricted to domestic investors) and B shares (restricted to foreign investors). The results show that there is an important long-run information diffusion between A and B shares. In the Shanghai stock market, information flows from foreign to domestic investors. However, in the smaller and less liquid Shenzhen stock market, the information diffusion goes in the opposite way. The direction of the information diffusion is determined by the choice of stock exchange rather than firm size. KW - diffuse AU - Sjoo, Boo AU - Zhang, Jianhua PY - 2000/12// UR - http://dx.doi.org/10.1016/S1042-444X(00)00035-9 ER -

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