 Panel cointegration of Chinese A and B sharesNiklas Ahlgren, Bo Sjo and Jianhua Zhang Applied Financial Economics, 2009, vol. 19, issue 23, 1859-1871 Abstract: We study information flows in China's stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors' A shares over foreign investors' B shares, as well as cointegration between the A- and B-share prices on the Shanghai and Shenzhen stock exchanges. We find that the A-share premia are nonstationary, and that the A- and B-share prices are not cointegrated up till January 2001. After February 2001, when domestic investors were allowed to trade B shares, the A-share premia become stationary and the A- and B-share prices cointegrated. One interesting result from the panel data analysis is that most firms' A and B shares are cointegrated, but not all firms. Cointegration is more likely for firms with a small A-share premium, low ratio of nontradeable shares, high growth rate and large B-share market capitalization relative to the A-share market capitalization. Our findings suggest that the relaxation of the investment restrictions decreased the segmentation between the A- and B-share markets in China. Date: 2009 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:19:y:2009:i:23:p:1859-1871 Ordering information: This journal article can be ordered from DOI: 10.1080/09603100903122182 Access Statistics for this article Applied Financial Economics is currently edited by Anita Phillips More articles in Applied Financial Economics from Taylor & Francis Journals |
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