caa a22 4500 463187520 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20070801xx s 000 0 eng 10.1007/s11156-007-0026-y doi (NATIONALLICENCE)springer-10.1007/s11156-007-0026-y The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market [Elektronische Daten] [Yuenan Wang, Amalia Di Iorio] By using an extension of the Fama and MacBeth cross-sectional regression model, this analysis examines the relationship between stock returns and (i) a local beta, (ii) two global betas, and (iii) some firm-specific characteristics in the Chinese A-share market. The results of the analysis suggest that neither the conditional local beta nor the global betas has a significant relationship with stock returns in A-shares. Our findings indicate that firm factors, such as the book-to-market ratio and firm size, are important in explaining stock returns. However, the size effect is sensitive to the specification of the model. Finally, the results of sub-period tests indicate that the A-share market did not become increasingly integrated with either the world stock markets or the Hong Kong stock market over the period 1995-2002. Springer Science+Business Media, LLC, 2007 Chinese stock market nationallicence Market integration nationallicence GARCH model nationallicence Wang Yuenan School of Economics, Finance & Marketing, RMIT University, GPO Box 2476V, 3001, Melbourne, VIC, Australia aut Di Iorio Amalia School of Economics, Finance & Marketing, RMIT University, GPO Box 2476V, 3001, Melbourne, VIC, Australia aut Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/2(2007-08-01), 181-203 0924-865X 29:2<181 2007 29 11156 https://doi.org/10.1007/s11156-007-0026-y text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-007-0026-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Wang Yuenan School of Economics, Finance & Marketing, RMIT University, GPO Box 2476V, 3001, Melbourne, VIC, Australia aut NATIONALLICENCE 700 1- Di Iorio Amalia School of Economics, Finance & Marketing, RMIT University, GPO Box 2476V, 3001, Melbourne, VIC, Australia aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/2(2007-08-01), 181-203 0924-865X 29:2<181 2007 29 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer