Panel Cointegration of Chinese A and B Shares
AbstractThis 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.
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Bibliographic InfoPaper provided by Hanken School of Economics in its series Working Papers with number 500.
Length: 18 pages
Date of creation: 31 Dec 2003
Date of revision:
Note: This paper is published as: Ahlgren, Niklas, Sjö, Bo and Zhang, Jianhua, 'Panel Cointegration of Chinese A and B Shares', Applied Financial Economics, 19, 1859-1871.
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Postal: Hanken School of Economics, Arkadiankatu 22, P.O.B. 479; FIN 00101 Helsinki, Finland
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Web page: http://www.hanken.fi
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Chinese A and B shares; Cointegration; Information diffusion; Panel data; Segmentation; Unit root;
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