Stock market efficiency in China: evidence from the split-share reform
Bernardo Bortolotti () and
Marianna Caccavaio ()
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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
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)
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Journal Article: Stock market efficiency in China: Evidence from the split-share reform (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_969_14
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