Market Segmentation And Information Diffusion In Chinas Stock Markets PDF Download
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| Author | : Niklas Ahlgren |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Market Segmentation and Information Diffusion in China's Stock Markets Book in PDF, ePub and Kindle
This paper studies market segmentation, information asymmetry and diffusion on the Chinese stock exchanges. Previous studies indicate that the price difference between domestic investors' A shares and foreign investors' B shares are driven by a stochastic trend. In this paper we test the stationarity of the A share price premium, and cointegration between A and B share prices using panel data methods. We use standard Augmented Dickey-Fuller (ADF) unit root tests and likelihood ratio (LR) tests for cointegration for the cross-sectional units or individual firms. Our panel data tests are based on the Fisher (1932) test suggested by Maddala and Wu (1999), i.e. the tests are based on combining the individual p-values from the cross-sectional units or firms. Using panel data, we find that the A share price premium is stationary, and we find cointegration between A and B share prices for most firms, but not for all. A probit model is used to identify the firm characteristics that determine whether A and B share prices cointegrate or not. The results show that cointegration is more likely to be found for firms that have listed their B shares in more recent years, and for firms in the service and manufacturing sectors.
| Author | : Jian Yang |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Market Segmentation and Information Asymmetry in Chinese Stock Markets Book in PDF, ePub and Kindle
This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data-determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B-share market are better informed than Chinese domestic investors in two A-share markets and foreign investors in Shenzhen and Hong Kong markets over time. The finding challenges a widespread assumption of less informed foreign investors in the literature, but suggests that foreign investors could be more informed in emerging markets.
| Author | : Nicolaas Groenewold |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 268 |
| Release | : 2004-01-01 |
| Genre | : Business & Economics |
| ISBN | : 9781782541172 |
Download The Chinese Stock Market Book in PDF, ePub and Kindle
'. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.
| Author | : Oliver M. Rui |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Market Segmentation and Stock Prices Discount in the Chinese Stock Market Book in PDF, ePub and Kindle
This paper explores the determinants of B-share discounts in the Chinese stock market based on a unique regulatory change in 2001. We find that the B-share discounts declined substantially after the lifting of restrictions on foreign ownership in China, but the H-share discount remained virtually unchanged. Using the intraday data, we find that information flows from the B-share markets to the A-share markets increase significantly after the event, because domestic investors rush into the B-share markets. Using various cross-sectional analyzes, we also find that relative supply and behavior factors such as relative spread (or liquidity) and relative risk affect the discounts throughout the sample period.
| Author | : Greg N. Gregoriou |
| Publisher | : CRC Press |
| Total Pages | : 654 |
| Release | : 2009-04-08 |
| Genre | : Business & Economics |
| ISBN | : 1420099558 |
Download Stock Market Volatility Book in PDF, ePub and Kindle
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
| Author | : Kalok Chan |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download The Informativeness of Domestic and Foreign Investors' Stock Trades Book in PDF, ePub and Kindle
This paper uses the perfect market segmentation setting in China's stock market to compare the information content of the stock trades of domestic and foreign investors. We study 76 firms that issue both A-shares (for domestic investors) and B-shares (for foreign investors) and compare the price discovery role of the two segmented markets in China. Before Feb 19, 2001, the A-share market led the B-share market in price discovery, as the signed volume and quote revision of the A-share market had strong predictive ability for B-share quote returns, but not vice versa. After Feb 19, 2001, because some domestic investors were allowed to invest in the B-share market, we find evidence for a reverse causality from the B-share to the A-share market. Nevertheless, the Hasbrouck (1995) information share analysis reveals that A-shares continue to dominate the price discovery process.
| Author | : Y. Gao |
| Publisher | : |
| Total Pages | : 15 |
| Release | : 2002 |
| Genre | : Market segmentation |
| ISBN | : |
Download Market Segmentation and Information Values of Earnings Announcements Book in PDF, ePub and Kindle
Investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A-share and B-share markets.
| Author | : Steven Shuye Wang |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download Information Diffusion, Transaction Costs, and the Performance of Technical Trading Rules in the Emerging Stock Markets of China Book in PDF, ePub and Kindle
We examine the performance of technical trading rules in the emerging Chinese stock markets. After controlling for non-synchronous trading and transaction costs, we find significant evidence to support the predictability and profitability of technical rules for Chinese foreign B-shares but not for domestic A-shares. The index returns of B-shares can be explained by one-day-lagged own market trading signals, but not by the trading signals emitted from the corresponding A-share market or from the U.S. market (a proxy for the international market). However, after February 19, 2001, when domestic investors were allowed to trade B-shares, the predictive power of the trading rules in B-share markets disappeared. We conclude that the predictability of technical trading rules in B-share markets can be attributed to the gradual diffusion of information among foreign investors under the foreign share ownership restriction, and, partly, to positive autocorrelations induced by thin trading.
| Author | : Sean Cao |
| Publisher | : |
| Total Pages | : 51 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Do Local Investors Always Know Better? Evidence from China's Market Segmentation Book in PDF, ePub and Kindle
It is well documented that domestic investors have an information advantage over foreign investors. We utilize the market segmentation of Chinese A- and B-shares to disentangle the information sets of domestic versus foreign investors. We find that, while domestic investors lead foreign investors in firm-specific information, the latter is better at incorporating macro-level information into stock prices. Thus, our results indicate that, in contrast to conventional beliefs, foreign investors are not at an absolute information disadvantage in emerging markets. In addition, we find that domestic investors' firm-specific information advantage is weakened among firms that have higher accounting quality and in situations where foreign investors face fewer cultural and communication barriers. Taken together, our paper indicates the key information role played by foreign investors and the importance of financial reporting in emerging markets.
| Author | : Gong-meng Chen |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download Foreign Ownership Restrictions and Market Segmentation in China's Stock Markets Book in PDF, ePub and Kindle
We study market segmentation in China's stock markets, in which local firms issue two classes of shares: class A shares available only to Chinese citizens and class B shares available only to foreign citizens. Significant stock price discounts are documented for class B shares. We find that the price difference is primarily due to illiquid B-share markets. Relatively illiquid B-share stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, B-share prices tend to move more closely with market fundamentals than A-share prices. Therefore, we find A-share premia rather than B-share discounts in China's markets.
