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Panel Cointegration...
Panel Cointegration of Chinese A and B Shares
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Ahlgren, N. (författare)
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Sjö, B. (författare)
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- Zhang, Jianhua, 1961 (författare)
- Gothenburg University,Göteborgs universitet,Centrum för finans,Institutionen för nationalekonomi med statistik,Centre for Finance,Department of Economics
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(creator_code:org_t)
- Göteborg : Göteborg University, 2008
- Engelska.
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Serie: Working Papers in Economics (online), 1403-2465 ; 300
- Relaterad länk:
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https://gup.ub.gu.se...
Abstract
Ämnesord
Stäng
- In this paper we study market segmentation and information flows in China's stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors' A shares over foreign investors' B shares as well as cointegration between the prices of the A and B shares on the Shanghai and Shenzhen stock exchanges. We find that the A-share premia are nonstationary and the A- and B-share prices are not cointegrated up till January 2001. After February 2001, when domestic investors were allowed to trade B shares, the A-share premia become stationary and the A- and B-share prices cointegrated. Our findings suggest that the relaxation of the investment restrictions decreased the information asymmetry betwen the A- and B-share markets in China.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Chinese A and B shares
- Market segmentation
- Information flow
- Panel unit root and cointegration tests
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)