Panel Cointegration of Chinese A and B Shares

Show full item record

Title: Panel Cointegration of Chinese A and B Shares
Author: Ahlgren, Niklas; Sjöö, Boo
Contributor: Hanken School of Economics, Department of Finance and Statistics, Statistics
Belongs to series: Working Papers - 500
ISSN: 0357-4598
ISBN: 951-555-812-3
Abstract: This paper uses panel unit root and cointegration methods to test the stationarity of the premium on domestic investors’ A shares over foreign investors’ B shares and cointegration between the A and B share prices on the Chinese stock exchanges. We find that the A share price premium is nonstationary until 2001, when the A and B share markets were partially merged, and that the A and B share prices are cointegrated in the panel.Cointegration is more likely to be found for firms in the service sector and for firms that issued B shares recently.
Date: 2003
Subject: chinese a and b shares
information diffusion
panel data
unit root
Rights: This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show full item record