SwePub - search: id:"swepub:oai:DiVA.org:liu-90...

Enumeration	Reference	Cover	Find
1.	Algren, Niklas, et al. (author) Panel cointegration of Chinese A and B shares 2009 In: Applied Financial Economics. - : Routledge. - 0960-3107 .- 1466-4305. ; 19:23, s. 1859-1871 Journal article (peer-reviewed)abstract We study 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 A- and B-share prices on the Shanghai and Shenzhen stock exchanges. We find that the A-share premia are nonstationary, and that 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. One interesting result from the panel data analysis is that most firms’ A and B shares are cointegrated, but not all firms. Cointegration is more likely for firms with a small A-share premium, low ratio of nontradeable shares, high growth rate and large B-share market capitalization relative to the A-share market capitalization. Our findings suggest that the relaxation of the investment restrictions decreased the segmentation between the A- and B-share markets in China.

Algren, Niklas, et al. (author)
Panel cointegration of Chinese A and B shares
2009
In: Applied Financial Economics. - : Routledge. - 0960-3107 .- 1466-4305. ; 19:23, s. 1859-1871
Journal article (peer-reviewed)abstract
- We study 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 A- and B-share prices on the Shanghai and Shenzhen stock exchanges. We find that the A-share premia are nonstationary, and that 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. One interesting result from the panel data analysis is that most firms’ A and B shares are cointegrated, but not all firms. Cointegration is more likely for firms with a small A-share premium, low ratio of nontradeable shares, high growth rate and large B-share market capitalization relative to the A-share market capitalization. Our findings suggest that the relaxation of the investment restrictions decreased the segmentation between the A- and B-share markets in China.

Träfflista för sökning "id:"swepub:oai:DiVA.org:liu-90043" "