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.
|Number of pages||14|
|Journal||Journal of International Financial Markets, Institutions and Money|
|Publication status||Published - 1 Jan 1998|
- Beta risk
- Market liquidity
- Spillover effects