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Tsangyao Chang and Yang-Cheng Lu
''Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle''
( 2006, Vol. 7 No.4 )
This study provides evidence that there exist long-run benefits for investors from diversifying in two Chinese share markets over the period January 5, 2000 to December 31, 2005. The evidence is based on tests for pairwise cointegration between the Shanghai and Shenzhen¡¦s A-share and B-share stock price indexes, using five cointegration tests, namely PO, HI, JJ, KSS, and BN approaches. The results from these five tests are robust and consistent in suggesting that these two Chinese share markets are not pairwise cointegrated with each other. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in these two Chinese share markets.
Manuscript Received : Feb 22 2006 Manuscript Accepted : Apr 03 2006

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