An Empirical Study of China's Stock Market Segmentation Based on Pooled-Panel TARCH Model

We study the market segmentation between A-shares and B-shares as well as A-shares and H-shares through the panel data of duel-listing companies. The segmentation can be reflected by the consistency of asset pricing, or by the information transferring mechanism. Therefore, we divide the close-to-close return between weeks into two parts: close-to-open return and open-to-close return, and then tests the segmentation using pooled-panel TARCH spill-over effect model. The results show that the segmentation between A, B and H shares mainly embodies the information flow relationship, and segmentation defined by asset pricing relationship is insignificant. The reasons of segmentation between A-B stocks are different with that between A-H stocks, the former reflects mainly the differences in institution factors and investors' risk appetite, and the latter reflects mainly the difference in investors' recognition.