EconPapers    
Economics at your fingertips  
 

Stock market efficiency in China: evidence from the split-share reform

Andrea Beltratti, Bernardo Bortolotti () and Marianna Caccavaio ()
Additional contact information
Bernardo Bortolotti: Bocconi University and University of Turin
Marianna Caccavaio: Bank of Italy

No 969, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We perform an event study to investigate the efficiency of the Chinese stock market. We study the reaction of stock returns and trading volumes to the 2005-2006 structural reform which allowed the transformation of non-tradable shares (NTS) into tradable shares (TS) through payment of a compensation to holders of TS. We find evidence of positive abnormal returns in the few days before the announcement of which companies will undergo the reform process and in the ten days after the readmission to trading of participating companies following the determination of the compensation, but no abnormal returns after the payment itself. From a methodological viewpoint, our contribution is the introduction of a bootstrap procedure that is designed to replicate the actual degree of covariance across firms.

Keywords: Chinese stock market; market efficiency; event study; bootstrap (search for similar items in EconPapers)
JEL-codes: G14 N25 (search for similar items in EconPapers)
Date: 2014-09
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.bancaditalia.it/pubblicazioni/temi-disc ... 0969/en_tema_969.pdf (application/pdf)

Related works:
Journal Article: Stock market efficiency in China: Evidence from the split-share reform (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_969_14

Access Statistics for this paper

More papers in Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-09-12
Handle: RePEc:bdi:wptemi:td_969_14