The spillover effects of the trading suspension of the treasury bond futures market in China

Pui Han, Winnie POON, Michael Arthur FIRTH, H. G. FUNG

Research output: Journal PublicationsJournal Article (refereed)peer-review

10 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)205-218
Number of pages14
JournalJournal of International Financial Markets, Institutions and Money
Volume8
Issue number2
DOIs
Publication statusPublished - 1 Jan 1998

Keywords

  • Beta risk
  • Market liquidity
  • Spillover effects

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