In this paper we study market segmentation and information flows in China’s stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors' A shares over foreign investors’ B shares as well as cointegration between the prices of the A and B...

This paper studies market segmentation, information asymmetry and diffusion on the Chinese stock exchanges. Previous studies indicate that the price difference between domestic investors' A shares and foreign investors' B shares are driven by a stochastic trend. In this paper we test the...