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Journal of Economic Integration 2009 September;24(3) :435-454.
Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework

Robert Brooks Amalia Di Iorio Robert Faff Yuenan Wang 

Monash University
RMIT University
Copyright ©2009 Journal of Economic Integration

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.

JEL Classification: C32, G12, G15

Keywords: market segmentation | French-Fama | Chinese stock market | GMM
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2. Barry, C. B., E. Goldreyer, L. Lockwood and M. Rodriguez(2002), "Robustness of Size and Value Effects in Emerging Equity Markets, 1985-2000", Emerging Markets Review, 3, pp. 1-30.
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