Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/27391
Title: Market liberalization within a country
Authors: Sun, Q
Tong, WHS 
Yan, Y
Keywords: China
Cross-market trading
Market quality
Market segmentation
Partial liberalization
Issue Date: 2009
Publisher: North-Holland
Source: Journal of empirical Finance, 2009, v. 16, no. 1, p. 18-41 How to cite?
Journal: Journal of empirical finance 
Abstract: China's B-share market, which used to be restricted to foreign investors, was partially opened up in February 2001 to Chinese local investors. We take this as a controlled experiment in cross-border trading on a small scale. We find mild but positive effects on the B-share market, with higher volumes, lower levels of volatility, lower bid-ask spreads and more liquidity after liberalization. Between A- and B-shares, price disparities narrowed; the correlation and the co-integration relationships became stronger; and the flow of information became more balanced. More new individual investors entered into the B-share market without crowding out existing institutional investors. Even though the liberalization measure is partial and one-way, it has helped to improve the quality of the B-share market, and our results lend no support to the popular claim that liberalization does nothing but help the existing foreign shareholders to cash out.
URI: http://hdl.handle.net/10397/27391
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2008.07.003
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