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Return Characteristics of State‐Owned and Non‐State‐Owned Chinese A Shares

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  • Michael J. Seiler
  • David M. Harrison
  • Pim Van Vliet
  • Kit Ching Yeung

Abstract

This study examines and compares stock returns and volatilities between state‐owned (SO) and non‐state‐owned (NSO) firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower‐order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, SO firms lead NSO firms. Neither SO nor NSO firm shares are dominated in terms of second‐order stochastic dominance.

Suggested Citation

  • 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.
    • Handle: RePEc:bla:finrev:v:40:y:2005:i:4:p:533-548
    DOI: 10.1111/j.1540-6288.2005.00123.x
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    File URL: https://doi.org/10.1111/j.1540-6288.2005.00123.x
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    Cited by:

    1. Phong Nguyen & Chuong Dang & Lam Nguyen, 2015. "Would Better Earning, Work Environment, and Promotion Opportunities Increase Employee Performance? An Investigation in State and Other Sectors in Vietnam," Public Organization Review, Springer, vol. 15(4), pages 565-579, December.
    2. Yuan Wu, 2016. "The Asymmetric Momentum Effect in the Chinese Class A Share Market Amid Market Swings," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 107-136, March.

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