Panel cointegration of Chinese A and B shares

Ahlgren, Niklas; Sjö, Bo; Zhang, Jianhua

doi:10.1080/09603100903122182

Cited by 7 publications

(5 citation statements)

References 24 publications

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“…Even though domestic investors were allowed to trade B-shares after 2001, there is still some degree of segmentation between the A- and B-share markets in China. This is consistent with Ahlgren et al (2009) in which they find that A- and B-shares are cointegrated, but not for all firms. Similarly, Qiao et al (2008) finds a fractional cointegration between Chinese A- and B-shares after the relaxation of restrictions on the purchase of B-shares by domestic residents.…”

Section: Resultssupporting

confidence: 88%

“…We know that the B-index is determined by the B-share trading, whereas the A-index is determined by A-share trading and the composite index is determined by both A- and B-share trading. The difference between A- and B-share trading has been discussed in the literature, such as Chan et al (2007, 2008), Ahlgren et al (2009) and Schuppli and Bohl (2010). By studying A- and B-share trading and comparing the price discovery role of the two segmented markets, they find that there exists information asymmetry between A-share traders and B-share traders.…”

Section: Resultsmentioning

confidence: 99%

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Classifying Chinese bull and bear markets: indices and individual stocks

Chi

Brooks

Bissoondoyal‐Bheenick

et al. 2016

SEF

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Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Markov switching model, this paper examines whether different industries or A- and B-share markets could lead to different stock market cyclical behaviour and whether firm size can determine the relationship between the firm stock cycles on the market cycles. Findings This paper finds a high degree of overlapping of bear cycles between stocks and indices and a high level of overlapping between the bear market and a fraction of stock with increasing stock prices. This leads to the conclusion that the stock performance and trading behaviour are widely diversified. Furthermore, the paper finds that the same industry may have different overlapping intervals of bull or bear cycles in the Shanghai and Shenzhen stock markets. Firms with different sizes could have different overlapping intervals with bull or bear cycles. Originality/value This paper fills the literature gap by establishing the cyclical behaviour of stock markets.

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Section: Resultssupporting

confidence: 88%

Section: Resultsmentioning

confidence: 99%

Classifying Chinese bull and bear markets: indices and individual stocks

Chi

Brooks

Bissoondoyal‐Bheenick

et al. 2016

SEF

View full text Add to dashboard Cite

show abstract

“…As noted in Ahlgren et al (2009), greater co-integration between tradable A-and B-share prices is evident in issuers with a lower proportion of non-tradable stock. Based upon this insight, we make specific control for the cross-sectional average percentage of non-tradable stock outstanding.…”

Section: Fwp = (Fwd à Sp)/spmentioning

confidence: 87%

The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares

Cai

McGuinness

Zhang³

2011

Journal of Banking & Finance

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“…Lee, Rui, and Wu (2008) find that the B-share discounts declined substantially after the lifting of restrictions on foreign ownership in China. Ahlgren, Sjo, and Zhang (2009) 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.…”

Section: Literature Reviewmentioning

confidence: 97%

The Value and Size Effect — Are There Firm-Specific-Risks in China’s Domestic Stock Markets?

Wu¹

2011

IJEF

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The Fama-French three-factor asset pricing formula is applied to the Chinese A-share markets: Shanghai and Shenzhen Stock Exchanges (SSE and SZSE). The benchmark explanatory returns-value and size premiums are constructed and adopted in the cross-sectional regressions. Market beta has no explanatory power. There are some evidences of the value effect only for the SSE. No significant size effect was found. The results are robust with or without the influences of the exchange rate reform and the recent financial crisis. The model works better in general for the SSE than for the SZSE, regardless of the specifications. There may well be different fundamental forces in the two markets. The pricing regularities pervasive in most equity markets do not explain the Chinese markets sufficiently well.

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Panel cointegration of Chinese A and B shares

Abstract: In this paper we study market segmentation and information ‡ows in China's stock markets. By using panel data methods we test for a

Cited by 7 publications

References 24 publications

Classifying Chinese bull and bear markets: indices and individual stocks

Classifying Chinese bull and bear markets: indices and individual stocks

The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares

The Value and Size Effect — Are There Firm-Specific-Risks in China’s Domestic Stock Markets?

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