journal6 ›› 2014, Vol. 35 ›› Issue (5): 76-81.DOI: 10.3969/j.issn.1007-2985.2014.05.018

• Economics • Previous Articles     Next Articles

Interrelation Between A Share Market and B Share Market Under the Segmenting Conditions

 LI  Xiao-Jing, XIE  Zhi-Ming   

  1. (1.School of Finance,Central University of Finance and Economics,Beijing 100081,China;2.Planning and Investment Management Department,CCCC Road and Bridge Consultants,Beijing 100011,China;3.School of Economics and Business Administration,Changsha University of Science and Technology,Changsha 41004,China)
  • Online:2014-09-25 Published:2014-10-30

Abstract: The interrelation between the A and B share markets in China since B share market's initial opening to Chinese citizens are studied.It makes an empirical analysis using the Shanghai A share Index and the Shanghai B share Index.The empirical analysis mainly includes establishing the VAR model through the ADF stability examination,and conducting the impulse response test based on the VAR model.Then the paper concludes that the segmentation of A and B share markets in China has not been improved significantly and the interrelationship between the two has not been reinforced obviously.The paper finally analyzes the reasons and accordingly suggests such countermeasures as eliminating the internal barriers,improving the external environment and making rational investors.

Key words: A share market, B share market, segmentation, interaction, VAR model, impulse response

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