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Price differentials between different classes of stocks: an empirical study on Chinese stock markets

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  • Bergstrom, Clas
  • Tang, Ellen

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  • Bergstrom, Clas & Tang, Ellen, 2001. "Price differentials between different classes of stocks: an empirical study on Chinese stock markets," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 407-426, December.
    • Handle: RePEc:eee:mulfin:v:11:y:2001:i:4-5:p:407-426
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    1. Errunza, Vihang & Losq, Etienne, 1985. "International Asset Pricing under Mild Segmentation: Theory and Test," Journal of Finance, American Finance Association, vol. 40(1), pages 105-124, March.
    2. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-378, May.
    3. John Fernald & John H. Rogers, 2002. "Puzzles In The Chinese Stock Market," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 416-432, August.
    4. Chakravarty, Sugato & Sarkar, Asani & Wu, Lifan, 1998. "Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 325-356, December.
    5. Pekka T. Hietala, 1989. "Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market," Journal of Finance, American Finance Association, vol. 44(3), pages 697-718, July.
    6. Gordon, Roger H. & Li, Wei, 2003. "Government as a discriminating monopolist in the financial market: the case of China," Journal of Public Economics, Elsevier, vol. 87(2), pages 283-312, February.
    7. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May.
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    Cited by:

    1. Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 351-373, September.
    2. Ahlgren, Niklas & Sjöö, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
    3. Michael J. Seiler & David M. Harrison & Pim Van Vliet & Kit Ching Yeung, 2005. "Return Characteristics of State‐Owned and Non‐State‐Owned Chinese A Shares," The Financial Review, Eastern Finance Association, vol. 40(4), pages 533-548, November.
    4. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
    5. Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.
    6. Wang, Ping & Liu, Aying & Wang, Peijie, 2004. "Return and risk interactions in Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 367-383, October.
    7. Li, Yuming & Yan, Daying & Greco, Joe, 2006. "Market segmentation and price differentials between A shares and H shares in the Chinese stock markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 232-248, July.
    8. Xiao-Ming Li, 2003. "Time-varying Informational Efficiency in China's A-Share and B-Share Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 33-56.
    9. Ghysels, Eric & Liu, Hanwei, 2017. "Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed?," CEPR Discussion Papers 12180, C.E.P.R. Discussion Papers.
    10. Haini Deng & Gregor Dorfleitner, 2007. "Underpricing in Chinese IPOs-some recent evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 9-22.
    11. Tang, Vicki Wei, 2011. "Isolating the effect of disclosure on information risk," Journal of Accounting and Economics, Elsevier, vol. 52(1), pages 81-99, June.
    12. Shin, Sangheon & Soydemir, Gökçe, 2010. "Exchange-traded funds, persistence in tracking errors and information dissemination," Journal of Multinational Financial Management, Elsevier, vol. 20(4-5), pages 214-234, December.
    13. Dayong Zhang & David Dickinson & Marco R. Barassi, 2006. "Structural Breaks, Cointegration and the B Share Discount in Chinese Stock Market," EcoMod2006 272100108, EcoMod.
    14. Bae, Sung C. & Li, Mingsheng & Shi, Jing, 2009. "Does the law of one price hold better under a flexible exchange rate system?," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 306-322, October.
    15. Xiangmei Fan & Yanrui Wu & Nicolaas Groenewold, 2003. "The Stock Return-volume Relation and Policy Effects: The Case of the Chinese Energy Sector," Economics Discussion / Working Papers 03-15, The University of Western Australia, Department of Economics.
    16. Zhang, Ran, 2015. "A theoretical analysis on H-share discount," Economic Modelling, Elsevier, vol. 46(C), pages 262-268.

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