Accessed: 29-01-2018 06:43 UTC JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org. 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.
CITATION STYLE
Brooks, R., Iorio, A. D., Faff, R., & Wang, Y. (2009). Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework. Journal of Economic Integration, 24(3), 435–454. https://doi.org/10.11130/jei.2009.24.3.435
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