Segmentation of the a- and b-share chinese equity markets

Hung Gay Fung, Wai Lee, Wai Kin Leung

Research output: Journal PublicationArticlepeer-review

61 Citations (Scopus)


In this study we use the latent variable asset pricing model to examine the pricing of A and B shares in the Chinese stock markets. The hypothesis tested is whether markets for the A and the B shares of the same companies are segmented. We document only one latent variable in both A- and B-share markets. However, the latent risk premiums for the A and B shares are only weakly correlated, indicating the two-tier markets are loosely related. The weak correlation implies the two markets reflect different fundamental forces. Additional analysis demonstrates that the Shanghai market responds to the Shenzhen market rather than the other way around.

Original languageEnglish
Pages (from-to)179-195
Number of pages17
JournalJournal of Financial Research
Issue number2
Publication statusPublished - Jun 2000
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance


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