Panel Cointegration of Chinese A and B Shares

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Use this URL to link or cite this item: http://hdl.handle.net/10227/185
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.
URI: http://hdl.handle.net/10227/185
URN:ISBN:951-555-812-3
Date: 2003
Copyright information: This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.
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