Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis
研究通过递归协整分析和预测误差方差分解，发现中国六个股票市场长期不联动，且上海B股市场的外国投资者比国内A股投资者及其他市场的外国投资者信息更灵通，挑战了外国投资者信息劣势的普遍假设。
Abstract This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data‐determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B‐share market are better informed than Chinese domestic investors in two A‐share markets and foreign investors in Shenzhen and Hong Kong markets over time. The finding challenges a widespread assumption of less informed foreign investors in the literature, but suggests that foreign investors could be more informed in emerging markets.