Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causalityin-variance procedure, using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrial...

This paper focuses on evidence on securitized real estate markets as it investigates the volatility spillovers and correlation dynamics among the three real estate securities markets: China, Hong Kong and Taiwan in Greater China (GC) as well as their international linkages with the US...

In this paper, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock exchanges. These hypotheses are: (a) that market-wide liquidity determines liquidity of individual stocks; (b) that liquidity varies with firm size; (c) that market liquidity affects stock...

We investigate the stock market crashes in China, Iceland, and the US in the 2007-2009 period. The bond stock earnings yield difference model is used as a prediction tool. Historically, when the measure is too high, meaning that long bond interest rates are too high relative to the trailing...

On 17 September 2012, China's State Council announced its 12th Five-Year Plan for the Development and Reform of the Financial Industry, covering the period from 2011 to 2015. The Plan includes two numerical targets for China's financial sector to achieve by 2015, and posits the opening up of the...

This study examines the risk-return characteristics of the Chinese A and H B-shares from domestic and foreign investors' perspective over the period January 1995 to June 2012. On average, H B-shares appear to offer a better risk-adjusted return irrespective of whether the returns are measured in...

The local bias puzzle was originally proposed from the analysis of investors' investment portfolios. We test and confirm the hypothesis that local bias has already existed in investor attention subconsciously regardless of their investment. In contrast to literature which focuses on investment...

Since the beginning of economic reforms two decades ago, the economy in China has produced real growth rates of between 8 percent and 10 percent per year. We believe that China will continue to experience exceptional growth for decades to come at rates well above those of any other large country...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

More than 25% of credit bonds in China received improved issuance ratings, among which 96.6% used credit enhancement. We find that credit enhancement can effectively lower credit spreads, which still holds after a battery of robustness tests. We employ the propensity score matching method, the...