Trend Changes in Stock Prices of Petrochemical Firms in the A-Share Market, China
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Gaolu Zou: School of Tourism and Economic Management, Chengdu University, Chengdu, Sichuan Province, China
International Journal of Economics and Financial Research, 2017, vol. 3, issue 8, 149-156
The paper proposes that the PetroChina listing event has significantly impacted the change in stock price trend of petrochemical firms. The study selected three firms for cases. The paper tested for the break date using both the Perron IO Model C and Zivot-Andrews Model C. Also, the study conducted a unit root test applying regular ADF and PP techniques. Data were monthly stock price series. Tests suggest that only one out of three petrochemical firm stock price series contains a break date, which occurred around 2007 and was very close to the PetroChina listing date (November 2007). The study concludes that the PetroChina listing has produced a significant shock to the stock prices on the trend function. A high degree of similarity with the PetroChina in one firmâ€™s size and main businesses can account for the occurrence of a breakpoint on the firmâ€™s stock price trend. Break-date tests for more petrochemical stock price series are needed to justify the proposition.
Keywords: A-share market; Break date; Cointegration; petrochemical firm; Stock price. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:arp:ijefrr:2017:p:149-156
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