The spillover effects of the trading suspension of the treasury bond futures market in China
Document Type
Journal article
Source Publication
Journal of International Financial Markets, Institutions and Money
Publication Date
1-1-1998
Volume
8
Issue
2
First Page
205
Last Page
218
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
Print ISSN
10424431
E-ISSN
18730612
Publisher Statement
Copyright © 1998 Elsevier Science B.V.
Access to external full text or publisher's version may require subscription.
Full-text Version
Publisher’s Version
Language
English
Recommended Citation
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