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Article
The spillover effects of the trading suspension of the treasury bond futures market in China
Journal of International Financial Markets, Institutions and Money
  • Pui Han, Winnie POON, Lingnan College, Hong Kong
  • Michael Arthur FIRTH, Hong Kong Polytechnic University
  • H. G. FUNG, University of Baltimore, United States
Document Type
Journal article
Publication Date
1-1-1998
Keywords
  • Beta risk,
  • Market liquidity,
  • Spillover effects
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.
DOI
10.1016/S1042-4431(98)00032-8
E-ISSN
18730612
Publisher Statement

Copyright © 1998 Elsevier Science B.V.

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Citation Information
Poon, W. P. H., Firth, M., & Fung, H.-G. (1998). The spillover effects of the trading suspension of the treasury bond futures market in China. Journal of International Financial Markets, Institutions and Money, 8(2), 205-218. doi: 10.1016/S1042-4431(98)00032-8