Title

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.

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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