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Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies

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  • Poon, Winnie P. H.
  • Firth, Michael
  • Fung, Hung-Gay

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  • Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1998. "Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 307-319, August.
    • Handle: RePEc:eee:pacfin:v:6:y:1998:i:3-4:p:307-319
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    References listed on IDEAS

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    1. Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1998. "The spillover effects of the trading suspension of the treasury bond futures market in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 205-218, June.
    2. Masulis, Ronald W. & Korwar, Ashok N., 1986. "Seasoned equity offerings : An empirical investigation," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 91-118.
    3. Kadlec, Gregory B & McConnell, John J, 1994. "The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings," Journal of Finance, American Finance Association, vol. 49(2), pages 611-636, June.
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    5. Bailey, Warren & Jagtiani, Julapa, 1994. "Foreign ownership restrictions and stock prices in the Thai capital market," Journal of Financial Economics, Elsevier, vol. 36(1), pages 57-87, August.
    6. 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.
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    8. Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 1997. "Market Segmentation and Stock Prices: Evidence from an Emerging Market," Journal of Finance, American Finance Association, vol. 52(3), pages 1059-1085, July.
    9. Gultekin, Mustafa N & Gultekin, N Bulent & Penati, Alessandro, 1989. " Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets," Journal of Finance, American Finance Association, vol. 44(4), pages 849-869, September.
    10. Ijaz Nabi, 1989. "Investment in Segmented Capital Markets," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(3), pages 453-462.
    11. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    12. Sanger, Gary C. & McConnell, John J., 1986. "Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(1), pages 1-25, March.
    13. 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. Wang, Zijun & Kutan, Ali M. & Yang, Jian, 2005. "Information flows within and across sectors in Chinese stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 767-780, September.
    2. Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.
    3. 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.
    4. Gao, Y. & Tse, Y. K., 2004. "Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 455-474.
    5. Chen, Gongmeng & Firth, Michael & Kim, Jeong-Bon, 2004. "IPO underpricing in China's new stock markets," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 283-302, July.
    6. Donald Lien & Chun-Da Chen, 2020. "B-share discount puzzle in China: a revisit of dual-share firms," Review of Managerial Science, Springer, vol. 14(5), pages 1047-1075, October.
    7. Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1998. "The spillover effects of the trading suspension of the treasury bond futures market in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 205-218, June.
    8. Chen, Gongmeng & Firth, Michael & Rui, Oliver, 2006. "Have China's enterprise reforms led to improved efficiency and profitability?," Emerging Markets Review, Elsevier, vol. 7(1), pages 82-109, March.
    9. Chen, Gongmeng & Firth, Michael & Gao, Daniel N. & Rui, Oliver M., 2006. "Ownership structure, corporate governance, and fraud: Evidence from China," Journal of Corporate Finance, Elsevier, vol. 12(3), pages 424-448, June.
    10. Zhian Chen & Hai Jiang & Donghui Li & Ah Boon Sim, 2010. "Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(6), pages 140-157, November.
    11. Chien-Liang Chiu & Mingchih Lee & Chun-Da Chen, 2005. "Removal of an investment restriction: the 'B' share experience from China's stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 15(4), pages 273-285.
    12. Gongmeng Chen & Michael Firth & Jeong-Bon Kim, 2002. "The use of accounting information for the valuation of dual-class shares listed on China's stock markets," Accounting and Business Research, Taylor & Francis Journals, vol. 32(3), pages 123-131.
    13. Chung-Hua Shen & Chien-Fu Chen & Li-Hsueh Chen, 2007. "An empirical study of the asymmetric cointegration relationships among the Chinese stock markets," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1433-1445.
    14. Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2002. "Volatility clustering and nontrading days in Chinese stock markets," Journal of Economics and Business, Elsevier, vol. 54(2), pages 193-217.
    15. Chan, K. & Karolyi, G. A. & Rhee, S. G., 2002. "A retrospective evaluation of the Pacific-Basin Finance Journal: 1993-2002," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 497-516, November.
    16. Chen, Chao & Chen, Xiao, 2007. "The information content of rights offerings in China," Research in International Business and Finance, Elsevier, vol. 21(3), pages 414-427, September.
    17. Fei Jiang & Lawrence A. Leger, 2010. "The impact on performance of IPO allocation reform," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 2(3), pages 251-272, August.
    18. Gongmeng Chen & Michael Firth & Daniel Ning Gao, 2011. "The Information Content of Earnings Components: Evidence from the Chinese Stock Market," European Accounting Review, Taylor & Francis Journals, vol. 20(4), pages 669-692, May.
    19. Fei Jiang & Lawrence Leger, 2009. "The Impact on IPO Performance of Reforming IPO Allocation Regulations: An Event Study of Shanghai Stock Exchange A-Shares," Discussion Paper Series 2009_04, Department of Economics, Loughborough University, revised Feb 2009.
    20. Poon, Winnie P. H. & Fung, Hung-Gay, 2000. "Red chips or H shares: which China-backed securities process information the fastest?," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 315-343, December.

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