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Panel cointegration...
Panel cointegration of Chinese A and B shares
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- Algren, Niklas (författare)
- Department of Finance and Statistics, Hanken School of Economics,, Helsingfors, Finland
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- Sjö, Bo (författare)
- Swedish Agency for Development Evaluation, Karlstad, Sweden
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- Zhang, Jianhua, 1961 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för nationalekonomi med statistik,Centrum för finans,Department of Economics,Centre for Finance,Center for Finance, University of Gothenburg, Sweden
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(creator_code:org_t)
- 2009-10-26
- 2009
- Engelska.
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Ingår i: Applied Financial Economics. - : Routledge. - 0960-3107 .- 1466-4305. ; 19:23, s. 1859-1871
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Chinese A and B shares
- Market segmentation
- Informa- tion ow
- Panel unit root and cointegration tests.
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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