文章基本信息

标题：Factors Influencing Equity Return Correlations between China’s Pairs of A- and B-Share Markets: Effect of QFII’s Implementation
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作者：Jung-Lieh Hsiao ; Teng-Tsai Tu ; Mei-Chun Chen 等
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2017
卷号：8
期号：2
页码：105
DOI：10.5430/ijfr.v8n2p105
出版社：Sciedu Press
摘要：This paper was intended to examine factors influencing the correlations between A- and B-shares of individual firms, and explore the effects of Qualified Foreign Institutional Investor’s (QFII) implementation on correlations. The empirical results show that interest rate differential, relative turnover rate, relative return volatility, and market sentiment had impacts on correlation both before and after the QFII’s implementation. After its implementation, correlations became more sensitive to premium, relative turnover rate and market sentiment. Furthermore, the estimated constant term for overall market correlation became more negative (raw values from -0.3413 to -0.8815), indicating an increasing correlation between A- and B-shares’ returns. The policy implications are that much benefit of diversification into emerging markets such as paired A-and B-shares can be accomplished, together with taking several influential factors into account.
其他摘要：This paper was intended to examine factors influencing the correlations between A- and B-shares of individual firms, and explore the effects of Qualified Foreign Institutional Investor’s (QFII) implementation on correlations. The empirical results show that interest rate differential, relative turnover rate, relative return volatility, and market sentiment had impacts on correlation both before and after the QFII’s implementation. After its implementation, correlations became more sensitive to premium, relative turnover rate and market sentiment. Furthermore, the estimated constant term for overall market correlation became more negative (raw values from -0.3413 to -0.8815), indicating an increasing correlation between A- and B-shares’ returns. The policy implications are that much benefit of diversification into emerging markets such as paired A-and B-shares can be accomplished, together with taking several influential factors into account.