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Please refer to this blog post for more information. China's segmented stock market provides an opportunity to study conditional international asset pricing from multiple viewpoints—domestic and foreign.

How big is the premium for currency risk? Journal of Financial Economics 49, pp. The time-varying price of currency risk indicates that the strict currency restrictions in China do not sufficiently reduce currency risk to stabilize the price of currency risk. We also find that the price of local risk in the Chinese A stock market is non-time-varying relative to the developed market, but time-varying relative to the emerging market.

This finding implies that the Chinese A stock market is more comparable to a developed market than an emerging market. However, results on Chinese B shares show the opposite relationship: This is further supported by an Engle—Granger cointegration test. Journals Books Register Sign in Sign in using your ScienceDirect credentials Username. Forgotten username or password? Sign in via your institution OpenAthens Other institution Recent Institutions. Sign in using your ScienceDirect credentials Username.

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The Study of CAPM in China′s Stock Market--《Journal of Finance》年07期

Please enable JavaScript to use all the features on this page. Emerging Markets Review Volume 9, Issue 3 , September , Pages China's segmented stock market: An application of the conditional international capital asset pricing model.

Author links open the author workspace. Opens the author workspace Opens the author workspace a. Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Xiaochun Liu.

A test of CAPM in China's stock market

Click to expose these in author workspace c. Click to expose these in author workspace a Wisconsin Lutheran College, United States b Marquette University, United States c Emory University, United States. Abstract China's segmented stock market provides an opportunity to study conditional international asset pricing from multiple viewpoints—domestic and foreign.

Keywords International asset pricing. Check if you have access through your login credentials or your institution. Elsevier About ScienceDirect Remote access Shopping cart Contact and support Terms and conditions Privacy policy.

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