Panel Cointegration of Chinese A and B Shares
| Contribuinte(s) |
Svenska handelshögskolan, institutionen för finansiell ekonomi och ekonomisk statistik, statistik Hanken School of Economics, Department of Finance and Statistics, Statistics |
|---|---|
| Data(s) |
2003
|
| Resumo |
This paper uses panel unit root and cointegration methods to test the stationarity of the premium on domestic investors’ A shares over foreign investors’ B shares and cointegration between the A and B share prices on the Chinese stock exchanges. We find that the A share price premium is nonstationary until 2001, when the A and B share markets were partially merged, and that the A and B share prices are cointegrated in the panel.Cointegration is more likely to be found for firms in the service sector and for firms that issued B shares recently. |
| Formato |
1837 bytes 256622 bytes application/pdf text/plain |
| Identificador |
http://hdl.handle.net/10227/185 URN:ISBN:951-555-812-3 951-555-812-3 0357-4598 |
| Idioma(s) |
en |
| Publicador |
Svenska handelshögskolan Hanken School of Economics |
| Relação |
Working Papers 500 |
| Direitos |
Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden. This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. |
| Palavras-Chave | #chinese a and b shares #cointegration #information diffusion #panel data #segmentation #unit root #Statistics |
| Tipo |
Text |
