Stock market efficiency in China: Evidence from the split-share reform
| Autor: | Marianna Caccavaio, Bernardo Bortolotti, Andrea Beltratti |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
Market efficiency Financial economics media_common.quotation_subject Risk premium Chinese stock market Event study Bootstrap Monetary economics Chinese stock market market efficiency event study bootstrap jel:N25 0502 economics and business Economics 050207 economics China health care economics and organizations Stock (geology) media_common 050208 finance 05 social sciences Replicate Payment jel:G14 Information leakage Stock market Business Finance |
| Popis: | 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 announcement of which companies will undergo the reform process, that can be explained by information leakage and not by a compensation risk premium, and in the ten days after the readmission to trading of participating companies following the determination of the compensation, which is consistent with a Merton visibility effect. We use a bootstrap procedure designed to replicate the actual degree of covariance across firms. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|