Panel Cointegration of Chinese A and B Shares

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dc.contributor Svenska handelshögskolan, institutionen för finansiell ekonomi och ekonomisk statistik, statistik sv
dc.contributor Hanken School of Economics, Department of Finance and Statistics, Statistics en Ahlgren, Niklas Sjöö, Boo 2011-03-02T14:04:36Z 2011-03-02T14:04:36Z 2003
dc.identifier.isbn 951-555-812-3
dc.identifier.issn 0357-4598
dc.identifier.uri URN:ISBN:951-555-812-3
dc.description.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. fi
dc.format.extent 1837 bytes
dc.format.extent 256622 bytes
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso en
dc.publisher Svenska handelshögskolan sv
dc.publisher Hanken School of Economics en
dc.relation.ispartofseries Working Papers
dc.relation.ispartofseries 500
dc.rights Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden. sv
dc.rights This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. en
dc.rights Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. fi
dc.subject chinese a and b shares fi
dc.subject cointegration fi
dc.subject information diffusion fi
dc.subject panel data fi
dc.subject segmentation fi
dc.subject unit root fi
dc.subject.other Statistics fi
dc.title Panel Cointegration of Chinese A and B Shares fi
dc.type.dcmitype Text

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