liu.seSearch for publications in DiVA
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Panel cointegration of Chinese A and B shares
Department of Finance and Statistics, Hanken School of Economics,, Helsingfors, Finland.
Swedish Agency for Development Evaluation, Karlstad, Sweden.ORCID iD: 0000-0002-8145-1000
Center for Finance, University of Gothenburg, Sweden.
2009 (English)In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 19, no 23, 1859-1871 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Routledge, 2009. Vol. 19, no 23, 1859-1871 p.
Keyword [en]
Chinese A and B shares, Market segmentation, Informa- tion ‡ow, Panel unit root and cointegration tests.
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-90043DOI: 10.1080/09603100903122182OAI: oai:DiVA.org:liu-90043DiVA: diva2:611785
Available from: 2013-03-18 Created: 2013-03-18 Last updated: 2017-12-06

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Sjö, Bo

Search in DiVA

By author/editor
Sjö, Bo
In the same journal
Applied Financial Economics
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 109 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf