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Panel Cointegration of Chinese A and B Shares

Author

Listed:
  • Ahlgren, Niklas

    (Swedish School of Economics and Business Administration)

  • Sjöö, Boo

    (University of Skövde)

  • Zhang, Jianhua

    (University of Gothenburg)

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.

Suggested Citation

  • Ahlgren, Niklas & Sjöö, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
    • Handle: RePEc:hhb:hanken:0500
    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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    References listed on IDEAS

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    Cited by:

    1. Kholodilin Konstantin A. & Menz Jan-Oliver & Siliverstovs Boriss, 2010. "What Drives Housing Prices Down? Evidence from an International Panel," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(1), pages 59-76, February.

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    Keywords

    Chinese A and B shares; Cointegration; Information diffusion; Panel data; Segmentation; Unit root;
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