| Security market segmentation is very important in financial studies. With traditional financial market microstructure theory, market segmentation focuses on a test for market segmentation, price behavior for one security in different markets and the extent to international equity market integration. This paper divides market segmentation into three kinds: test for market segmentation, information transmission mechanism in different markets and the extent to market integration for international stock market. This paper researches the relationship of A and H stock market, price information transmission mechanism in A and H stock market and the extent to market integration for international stock market by empirical studies, expecting to give some advice.The main contents of the dissertation are as following:The first part: The second chapter introduces some concepts of market segmentation theory, the history and developing phases of China stock market segmentation .This chapter also makes an introduction about the background and signification of the research based on financial market microstructure theory for China stock market. The third chapter reviews some canonical theory, which concludes test theory for market segmentation, the premium (discount) theory for foreign stocks and price discovery model for one security in different markets.The second part: Chapter 4 deals with the model of test for China stock market segmentation, and use the model to test market segmentation for A and H stock market. Based on cointegration and fractional integration theory, chapter 5 studies price discovery mechanism for one security in different markets and information transmission mechanism for A and H stock markets theoretically and empirically. Chapter 6 researches volatility transmission in international stock market and analyze the extent to the equity market integration of China and USA.The part 3, the last chapter 7, sums up the full text and makes a prospect about this paper. |
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