Share Return Seasonalities and Price Linkages of Chinese A and B Shares

Richard A. Heaney, John G. Powell and Jing Shi
Additional contact information
Richard A. Heaney: Department of Commerce, The Australian National University, Canberra ACT 0200, Australia
John G. Powell: Department of Finance and Quantitative Analysis, University of Otago, PO Box 56, Dunedin, New Zealand
Jing Shi: Department of Commerce, The Australian National University, Canberra ACT 0200, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 1999, vol. 02, issue 02, 205-229

Abstract: This paper investigates share price linkages between Chinese corporations' foreign-designated B shares and the numerically dominant domestic A shares of the same companies. Chinese share return seasonalities are examined and the suggested satellite trading relationships are subsequently tested in order to provide an understanding of the linkages between A and B shares. The seasonality results along with arbitrage activity in the market for Chinese A and B shares suggest that a dominant-satellite relationship is likely to exist whereby the A share market is the dominant market for price formation and the B share market is the satellite. The paper identifies significant price linkages from the A to B share markets which are nevertheless weaker in an economic sense than might be expected.

JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0219091599000138

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