Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework

Brooks, Robert; Iorio, Amalia Di; Faff, Robert; Wang, Yuenan

doi:2009.24.3.435

The Journal of Economic Integration 2009 September;24(3) :435-454.
DOI: https://doi.org/10.11130/jei.2009.24.3.435

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

ABSTRACT

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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