Testing for Structural Change in the Nontradable Share Reform of the Chinese Stock Market

Fang Huang, Jun Su and Terence Tai Leung Chong ()

Chinese Economy, 2008, vol. 41, issue 2, pages 24-33

Abstract: We test for structural change in the Chinese stock-price level caused by the nontradable share (NTS) reform. Using the net-of-market-trend stock-price series, we found that the NTS reform drives stock prices up in more than two-thirds of the cases. For the twenty-one—day window, the effect of the NTS reform is significant. Half of the stock prices have a shift right after readmission. It is also found that stocks with bonus-share distribution proportion between 15 percent and 20 percent are more likely to have a downward shift in price than those with other proportions.

Date: 2008

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