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Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework
( Robert Brooks ),( Amalia Di Iorio ),( Robert Faff ),( Yue Nan Wang ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2009 Journal of Economic Integration Vol.24 No.3
This paper explores the integration/segmentation between the US and Chinese stock markets. Our analysis extends the work of Jorion and Schwartz (1986) to a Fama-French framework using both Chinese and US Fama-French factors. Despite the ongoing liberalisation process in China our results support the segmentation hypothesis.
( Robert W. Faff ),( Usha R. Mittoo ) 세종대학교 경제통합연구소 2003 Journal of Economic Integration Vol.18 No.3
Using a matched sample design where companies are matched by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across industries and by geographical proximity. The tests are conducted in the multi-factor pricing framework over the 1983-1997 period. Our evidence supports two main findings. First, the pricing of Australian stocks is different from that of their Canadian and U.S. counterparts. The Australian stocks are priced in a partially segmented global market whereas the Canadian stocks are priced in a regionally integrated North American stock market. Second, global industry stocks such as oil and mining stocks are priced in a relatively integrated capital market while regional industry stocks such as consumer and capital goods stocks are priced in segmented markets. This evidence suggests that industry and geographical distance may proxy factors that may be relevant in international asset pricing.
Faff, Robert W.,Mittoo, Usha R. 세종대학교 국제경제연구소 2003 Journal of Economic Integration Vol.18 No.3
Using a matched sampfe design where companies are matchaed by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across induatries and by geographical praximity. The tests are conduad in the multi-factor pricing framework over the 1983-1997 period. Our evidence supports two main findings. First, the pricing of Australian stocks is dofferdent from that of theit Canadian and U.S. counterparts. The Australianm storks are priced in a partially segmented North American stock market. Second, global industry stocks are pniced in a relatively integrated capital market while regional industry stocks such as consumer and capital goods stocks are priced in segmented markets. This evidence suggesis that industry and geographical distance may proxy factors that may be relevant in international asset pricing.