TY - JOUR
T1 - The spillover effects of the trading suspension of the treasury bond futures market in China
AU - POON, Pui Han, Winnie
AU - FIRTH, Michael Arthur
AU - FUNG, H. G.
PY - 1998/1/1
Y1 - 1998/1/1
N2 - The purpose of this study is to empirically investigate the equity market response to the suspension of trading in the Shanghai Treasury bond (T-bond) futures market in 1995. We examine the equity market because of its dominance in the Shanghai Stock Exchange. The equity market is worth over 60% of the total turnover in value (i.e. about 31.9 billion yuan in July, 1995). Specifically, we study the return and liquidity responses of both Shanghai and Shenzhen A and B shares. Results indicate that, while suspension of trading for the Shanghai Treasury-bond futures has a significant impact on the risk of the Shanghai B share returns only, it appears to improve the market liquidity of both A and B shares on the two exchanges.
AB - The purpose of this study is to empirically investigate the equity market response to the suspension of trading in the Shanghai Treasury bond (T-bond) futures market in 1995. We examine the equity market because of its dominance in the Shanghai Stock Exchange. The equity market is worth over 60% of the total turnover in value (i.e. about 31.9 billion yuan in July, 1995). Specifically, we study the return and liquidity responses of both Shanghai and Shenzhen A and B shares. Results indicate that, while suspension of trading for the Shanghai Treasury-bond futures has a significant impact on the risk of the Shanghai B share returns only, it appears to improve the market liquidity of both A and B shares on the two exchanges.
KW - Beta risk
KW - Market liquidity
KW - Spillover effects
UR - http://commons.ln.edu.hk/sw_master/2275
U2 - 10.1016/S1042-4431(98)00032-8
DO - 10.1016/S1042-4431(98)00032-8
M3 - Journal Article (refereed)
SN - 1042-4431
VL - 8
SP - 205
EP - 218
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 2
ER -