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中文摘要：
基于B股对境内投资者开放这一标志性事件，采用VECM-DCC．MVGARCH模型，分别从长期和短期考察中国股票市场一体化的时变特征．研究结果表明：B股对境内投资者开放后，市场在长期意义上从完全分割走向部分整合；且A股市场处在信息传递的主导地位，信息的短期传递和吸收日益迅速．
英文摘要：
This study employs VECM-DCC-MVGARCH model to investigate the time-varying characteristics of integration in Chinese stock markets in the long and short run. The empirical results show that after B-Share is open to domestic investors, the markets are integrated to some extent in the long run, while in the short run, A-share market plays an important role in the information transmitting between A-Share and B-Share markets. In addition, the information transmission between A-Share and B-Share markets has been more rapid since B- share is open to domestic investors.
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