• The Journal of the Convergence on Culture Technology
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• v.10 no.4
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• pp.711-719
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• 2024

This study examined the policy of opening up the Chinese A-share market and its performance in four aspects: institutional investors system, cross-trading system with overseas stock markets, inclusion of A-shares into global indices, and establishment of a new board. Then, the impact of these policies on the Stock Index was empirically analyzed, and it was confirmed that institutional investors system such as QFII and RQFII, cross-trading system with overseas stock markets such as Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect, inclusion of A-shares into global indices such as the MSCI EM index and FTSE Russell index, and the establishment of a new board of the Science Innovation Board all had statistically significant positive impacts on the stock index. Based on the results of these analysis, we conclude that China should further expand its stock market opening to the outside world, that mutual efforts are needed to alleviate political conflicts and improve understanding, and that easing industry regulations, including real estate, will help China's economic recovery and foreigners' investment in the A-share market.

• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.171-187
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• 2006

This paper investigates the pricing information transmission between NYSE listed Chinese ADRs and their underlying shares by using GJR. The data in this study consist of daytime and overnight returns on 7 chinese stocks End their ADRs on the NYSE for the period from December 2002 to december 2005. We have round that the home market leadership hypothesis can be applied to the Chinese stocks. We have also found that return spillover effect is stronger than volatility spillover effect.

• International Area Studies Review
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• v.13 no.3
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• pp.287-308
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• 2009

This article examines the distributional characteristics of the return of Chinese stock market indices. The majority of previous empirical researches have tended to focus upon the simple stock market index. However, this study focuses on the four indices which represent the characteristics of each stock market index. The empirical findings indicate that the returns of the four chinese indices are not normally distributed at conventional levels. The Ljimg-Box -statistics indicate the returns of the index of A shares are not serially autocorrelated. However, the returns of the index of B shares are serially autocorrelated. The empirical findings also indicate returns of the four chinese indices are not serially autocorrelated. The statistics of Regression Specification Error Test and ARCH indicate the returns of all four indices are not serially linear. The findings also indicate that E- GARCH model is the most fittest model for the returns of the four chinese indices and the forecast error can be reduced by using student t distribution rather normal distribution.